Dynamic bifurcations on financial markets
|Grzegorz Link 1, Marzena Kozłowska 1, Mateusz Denys 1, Mateusz J. Wiliński 1, Tomasz Gubiec 1, Tomasz R. Werner 1, Ryszard Kutner 1, Zbigniew R. Struzik 2|
1. Uniwersytet Warszawski, Wydział Fizyki, ul. Pasteura 5, Warszawa 02-093, Poland
The principal aim of this work is in providing the evidence that catastrophic bifurcation breakdowns or transitions, proceded by flickering phenomena, are present on notoriously significant and unpredictable financial markets. This predictability question continues to fascinate both the research community and the general public. Interestingly, early-warning signals have recently been identified and elucidated to be a consequence of a catastrophic bifurcation transition phenomenon observed in multiple physical systems, e.g. in ecosystems, climate dynamics and in medicine (epileptic seizure and asthma attack). In the present work we provide an analogical, positive identification of such a phenomenon by examining the most pronounced indicators in the context of a well-defined daily bubble - a remarkable bubble induced by the recent worldwide financial crisis on typical financial markets of small and middle to large capitalisations.
|Auxiliary resources (full texts, presentations, posters, etc.)|
Presentation: Poster at 8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Grzegorz Link
See On-line Journal of 8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"
Submitted: 2015-09-05 15:58 Revised: 2015-11-07 15:31