由于战争的冲击,金融时间序列的值
Ewa A Drzazga-Szczȩśniak1, Piotr Szczepanik2, Adam Z Kaczmarek3
1Department of Physics, Faculty of Production Engineering and Materials Technology, Czȩstochowa University of Technology, 19 Armii Krajowej Ave., 42200 Czȩstochowa, Poland.
分析有效地捕捉到股票市场波动的变化,特别是在2022年俄罗斯入侵乌克兰等重大事件之后. 该方法揭示了市场变化和潜在的未来极端事件.
科学领域:
- 金融计量经济学 金融计量经济学
- 时间序列分析时间序列分析.
- 信息理论是信息理论.
背景情况:
- ,从统计力学的一个概念,适用于金融时间序列分析.
- 突然的外部事件可能会导致股票市场数据的急剧变化,影响波动性.
- 评估由于极端因素导致的市场波动性变化对于理解经济影响至关重要.
研究的目的:
- 调查极端外部事件对金融时间序列的影响.
- 验证基于的方法来评估市场波动性的变化.
- 探索在描述金融资产之间的相互依赖方面的能力.
主要方法:
- 来自波兰股票市场的金融时间序列数据的分析.
- 在2022年俄罗斯入侵乌克兰之前和之后的度比较.
- 利用来分析累积股票指数及其组成资产.
主要成果:
- 基于的测量有效地捕捉了极端事件驱动的市场波动的定性特征.
- 分析突出了市场数据分布的差异,在某些情况下表现优于标准偏差.
- 累积指数的度反映了其组成资产的平均度,表明相互依赖.
- 值分析显示,在识别即将发生的极端市场事件的标志方面有潜力.
结论:
- 是分析金融时间序列的一个有价值的工具,特别是对地缘政治事件的反应.
- 基于的方法提供了对市场波动和相互依存的洞察力,而传统方法可能会错过这些洞察力.
- 分析可以作为极端市场事件的领先指标,提供预测能力.
更多相关视频
07:59Author Spotlight: Alignment of Synchronized Time-Series Data Using the Characterizing Loss of Cell Cycle Synchrony Model for Cross-Experiment Comparisons
Published on: June 9, 2023
11:15Applications of EEG Neuroimaging Data: Event-related Potentials, Spectral Power, and Multiscale Entropy
Published on: June 27, 2013
相关概念视频
Entropy and the Second Law of Thermodynamics
The relation between entropy and disorder can be illustrated with the example of the phase change of ice to water. In ice, the molecules are located at specific sites giving a solid state, whereas, in a liquid form, these molecules are much freer to move. The molecular arrangement has therefore become more randomized. Although the change in average...
The Second Law of Thermodynamics
Entropy Change in Reversible Processes
The statement can be further generalized to prove that entropy is a state function. Take a cyclic process between any two points on a p-V diagram.
Noncompartmental Analysis: Statistical Moment Theory
Shock Waves
When the source's speed approaches the speed of sound, constructive interference between successive wavefronts emitted by the source occurs immediately behind it. Initially, scientists believed that this constructive interference would result in such high...
Wald-Wolfowitz Runs Test II
For binary data, runs are identified using symbols such as + and −, or equivalently, 1s and...
