发帖
雷达卡
摘要翻译：
根据多重分形测度的热力学公式，我们提出了一种新的指数，可以实时地区分金融危机等事件。我们计算配分函数，从中得到类似于自由能和比热的热力学量。该指数被定义为归一化能量变化，可以用来研究随机时间序列的行为，如金融市场日数据。著名的金融市场崩溃--黑色星期四（1929年）、黑色星期一（1987年）和次贷危机（2008年）--都有明确而强劲的结果。该方法也应用于2011年的市场波动。从这些结果来看，似乎2011年的明显危机与其他三次危机性质不同。我们还证明了该分析具有预测能力。
---
英文标题：
《Identifying financial crises in real time》
---
作者：
Eder Lucio Fonseca, Fernando F. Ferreira, Paulsamy Muruganandam and
Hilda A. Cerdeira
---
最新提交年份：
2012
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
一级分类：Physics 物理学
二级分类：Cellular Automata and Lattice Gases 元胞自动机与格子气体
分类描述：Computational methods, time series analysis, signal processing, wavelets, lattice gases
计算方法，时间序列分析，信号处理，小波，格子气体
--
一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
--
---
英文摘要：
Following the thermodynamic formulation of multifractal measure that was shown to be capable of detecting large fluctuations at an early stage, here we propose a new index which permits us to distinguish events like financial crisis in real time . We calculate the partition function from where we obtain thermodynamic quantities analogous to free energy and specific heat. The index is defined as the normalized energy variation and it can be used to study the behavior of stochastic time series, such as financial market daily data. Famous financial market crashes - Black Thursday (1929), Black Monday (1987) and Subprime crisis (2008) - are identified with clear and robust results. The method is also applied to the market fluctuations of 2011. From these results it appears as if the apparent crisis of 2011 is of a different nature from the other three. We also show that the analysis has forecasting capabilities.
---
PDF链接：
https://arxiv.org/pdf/1204.3136
京公网安备 11010802022788号
