期待意想不到的事情:金融中的和多分制系统
Giuseppe Orlando1,2,3, Marek Lampart4,5
1Department of Mathematics, University of Bari, Via Edoardo Orabona 4, 70125 Bari, Italy.
Entropy (Basel, Switzerland)
|November 24, 2023
概括
金融市场中较高的率信号增加了混乱和意外的极端事件,特别是在熊市期间. 本研究分析了纽约证券交易所 (NYSE),以了解多分体的动态和市场状况.
科学领域:
- 量化金融 量化金融
- 复杂系统分析 复杂系统分析
- 市场动态 市场动态
背景情况:
- 度量化了系统中的信息损失,对于理解复杂的动态至关重要.
- 多分法系统需要一个奇点光谱,而不是单个指数,以实现完整的表征.
- 投资者认为升的是异常回报的信号,需要为意外事件做好准备.
研究的目的:
- 分析纽约证券交易所 (NYSE) 美国指数及其组成部分的多元特征.
- 利用作为一种识别市场状况的方法 (看跌/看).
- 调查市场衰退与水平之间的关系.
主要方法:
- 分析纽约证券交易所 (NYSE) 美国指数及其组成部分.
- 使用度测量对多分形属性的评估.
- 基于值波动的市场状态 (看/看跌) 的确定.
主要成果:
- 价格下降与的增加相关,这挑战了之前的研究表明危机期间的减少.
- 熊市的特点是度更高,这表明极端,不可预测事件的可能性更大.
- 该研究观察到权力法行为和分析的市场数据中缺乏差异.
结论:
- 市场危机,特别是熊市,表现出更高的,这意味着不可预测性增加.
- 是识别波动的分式市场和预测极端事件的有效工具.
- 调查结果表明,增加的混乱,而不是确定性,是市场下滑的特征.
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