Measuring critical transitions in financial markets

Tipping points in complex systems are structural transitions from one state to another. In financial markets these critical points are connected to systemic risks, which have led to financial crisis in the past. Due to this, researchers are studying tipping points with different methods. This paper...

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Detalles Bibliográficos
Autores principales: Jurczyk, Jan, Rehberg, Thorsten, Eckrot, Alexander, Morgenstern, Ingo
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Nature Publishing Group UK 2017
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5599602/
https://www.ncbi.nlm.nih.gov/pubmed/28912453
http://dx.doi.org/10.1038/s41598-017-11854-1
Descripción
Sumario:Tipping points in complex systems are structural transitions from one state to another. In financial markets these critical points are connected to systemic risks, which have led to financial crisis in the past. Due to this, researchers are studying tipping points with different methods. This paper introduces a new method which bridges the gap between real-world portfolio management and statistical facts in financial markets in order to give more insight into the mechanics of financial markets.

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