Financial markets’ deterministic aspects modeled by a low-dimensional equation

We ask whether empirical finance market data (Financial Stress Index, swap and equity, emerging and developed, corporate and government, short and long maturity), with their recently observed alternations between calm periods and financial turmoil, could be described by a low-dimensional determinist...

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Detalles Bibliográficos
Autores principales: Orlando, Giuseppe, Bufalo, Michele, Stoop, Ruedi
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Nature Publishing Group UK 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8807815/
https://www.ncbi.nlm.nih.gov/pubmed/35105929
http://dx.doi.org/10.1038/s41598-022-05765-z
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author Orlando, Giuseppe
Bufalo, Michele
Stoop, Ruedi
author_facet Orlando, Giuseppe
Bufalo, Michele
Stoop, Ruedi
author_sort Orlando, Giuseppe
collection PubMed
description We ask whether empirical finance market data (Financial Stress Index, swap and equity, emerging and developed, corporate and government, short and long maturity), with their recently observed alternations between calm periods and financial turmoil, could be described by a low-dimensional deterministic model, or whether this requests a stochastic approach. We find that a deterministic model performs at least as well as one of the best stochastic models, but may offer additional insight into the essential mechanisms that drive financial markets.
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spelling pubmed-88078152022-02-03 Financial markets’ deterministic aspects modeled by a low-dimensional equation Orlando, Giuseppe Bufalo, Michele Stoop, Ruedi Sci Rep Article We ask whether empirical finance market data (Financial Stress Index, swap and equity, emerging and developed, corporate and government, short and long maturity), with their recently observed alternations between calm periods and financial turmoil, could be described by a low-dimensional deterministic model, or whether this requests a stochastic approach. We find that a deterministic model performs at least as well as one of the best stochastic models, but may offer additional insight into the essential mechanisms that drive financial markets. Nature Publishing Group UK 2022-02-01 /pmc/articles/PMC8807815/ /pubmed/35105929 http://dx.doi.org/10.1038/s41598-022-05765-z Text en © The Author(s) 2022 https://creativecommons.org/licenses/by/4.0/Open AccessThis 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 licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence 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 licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Article
Orlando, Giuseppe
Bufalo, Michele
Stoop, Ruedi
Financial markets’ deterministic aspects modeled by a low-dimensional equation
title Financial markets’ deterministic aspects modeled by a low-dimensional equation
title_full Financial markets’ deterministic aspects modeled by a low-dimensional equation
title_fullStr Financial markets’ deterministic aspects modeled by a low-dimensional equation
title_full_unstemmed Financial markets’ deterministic aspects modeled by a low-dimensional equation
title_short Financial markets’ deterministic aspects modeled by a low-dimensional equation
title_sort financial markets’ deterministic aspects modeled by a low-dimensional equation
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8807815/
https://www.ncbi.nlm.nih.gov/pubmed/35105929
http://dx.doi.org/10.1038/s41598-022-05765-z
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