金融市场的冲击、价格预期与阻尼谐波 振荡器

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摘要翻译：
利用一个修正的阻尼谐振子模型等价于具有价格预期的市场动力学模型，分析了金融市场对冲击的反应。为了做到这一点，我们收集了各种金融市场指数的数据，包括1987年黑色星期一、1998年俄罗斯危机、911后的崩盘(2001)，以及最近因美国次贷危机而导致的市场低迷（2008）。通过分析这些数据，我们能够确定每个市场感受到冲击的程度，一个表示市场吸收冲击能力的抑制因子，以及与冲击后波动性相关的频率。这些结果衡量了不同市场从这些冲击中恢复的效率，并衡量了它们之间的某种程度的依赖。我们还利用所使用的指数之间的相关矩阵显示，金融市场现在比20年前联系得更紧密。
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英文标题：
《Shocks in financial markets, price expectation, and damped harmonic
  oscillators》
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作者：
Leonidas Sandoval Junior and Italo De Paula Franca
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gather data from indices of a variety of financial markets for the 1987 Black Monday, the Russian crisis of 1998, the crash after September 11th (2001), and the recent downturn of markets due to the subprime mortgage crisis in the USA (2008). Analyzing those data we were able to establish the amount by which each market felt the shocks, a dampening factor which expresses the capacity of a market of absorving a shock, and also a frequency related with volatility after the shock. The results gauge the efficiency of different markets in recovering from such shocks, and measure some level of dependence between them. We also show, using the correlation matrices between the indices used, that financial markets are now much more connected than they were two decades ago.
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PDF链接：
https://arxiv.org/pdf/1103.1992

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关键词：金融市场 振荡器 Quantitative Applications Expectations 分析 model were 具有 market