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
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author Jurczyk, Jan
Rehberg, Thorsten
Eckrot, Alexander
Morgenstern, Ingo
author_facet Jurczyk, Jan
Rehberg, Thorsten
Eckrot, Alexander
Morgenstern, Ingo
author_sort Jurczyk, Jan
collection PubMed
description 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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spelling pubmed-55996022017-09-15 Measuring critical transitions in financial markets Jurczyk, Jan Rehberg, Thorsten Eckrot, Alexander Morgenstern, Ingo Sci Rep Article 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. Nature Publishing Group UK 2017-09-14 /pmc/articles/PMC5599602/ /pubmed/28912453 http://dx.doi.org/10.1038/s41598-017-11854-1 Text en © The Author(s) 2017 Open Access This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons license, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons license and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/.
spellingShingle Article
Jurczyk, Jan
Rehberg, Thorsten
Eckrot, Alexander
Morgenstern, Ingo
Measuring critical transitions in financial markets
title Measuring critical transitions in financial markets
title_full Measuring critical transitions in financial markets
title_fullStr Measuring critical transitions in financial markets
title_full_unstemmed Measuring critical transitions in financial markets
title_short Measuring critical transitions in financial markets
title_sort measuring critical transitions in financial markets
topic Article
url 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
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