金融市场的简单持续性:过,生成过程和结构性风险
Jeremy Turiel1,2, Paolo Barucca1, Tomaso Aste1
1Department of Computer Science, UCL, Gower Street, London WC1E 6BT, UK.
Entropy (Basel, Switzerland)
|July 8, 2023
概括
我们引入了简化的持久性来分析网络演变,揭示了金融市场的长期记忆和明显的衰退模式. 更流动的市场表现出更慢的持久性衰退,表明复杂的集体行为和潜在的系统脆弱性.
科学领域:
- 网络科学 网络科学
- 金融计量经济学 金融计量经济学
- 复杂系统分析 复杂系统分析
背景情况:
- 了解金融市场的时间动态对于评估系统性风险至关重要.
- 传统方法往往无法捕捉市场演变中的高阶结构.
- 网络分析为研究复杂的相互依赖提供了一个强大的镜头.
研究的目的:
- 引入简化的持久性作为一个新的测量方法来量化网络模式的时间演变.
- 调查金融市场网络结构中的长期记忆特性和衰变模式.
- 用基于网络的衰减指数来描述金融市场的效率和流动性.
主要方法:
- 简化持久性适用于从相关性过获得的网络.
- 拓小自由图 (TMFG) 过和简单的值被用于网络生成.
- 用零模型来分析生成过程和进化约束.
- 计算了长记忆过程的衰变指数来描述市场的特征.
主要成果:
- 在持久的简式复合数中观察到两种制度的权力法衰变,这表明长期记忆.
- TMFG 方法有效地识别了高阶结构,优于值方法.
- 与流动性较低的市场相比,更流动的市场表现出较慢的持久性衰退.
- 这一发现与有效市场纯粹是随机的概念形成鲜明对比.
结论:
- 简单化的持久性揭示了金融市场可预测的集体变量演变,即使个体动态不那么可预测.
- 流动性市场的持续衰退速度较慢可能表明对冲击的系统脆弱性较高.
- 该研究为通过网络动态来描述金融市场行为和效率提供了一个新的框架.
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