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Catastrophic bifurcations on financial markets

Marzena Kozłowska 1Tomasz Gubiec 1Mateusz Denys 1Adam Sienkiewicz 1Tomasz R. Werner 2Zbigniew R. Struzik 3Ryszard Kutner 1

1. University of Warsaw, Institute of Experimental Physics (IFDUW), Hoża 69, Warsaw 00-681, Poland
2. Uniwersytet Warszawski, Wydział Fizyki, Instytut Fizyki Teoretycznej (IFTUW), Hoża 69, Warszawa 00-681, Poland
3. The University of Tokyo, Bunkyo-ku, Tokyo 113-8655, Japan


The question of whether the early-warning signals are present in financial markets continues to fascinate both the research community and the general public. Interestingly, such early-warning signals have recently been indentified and explained to be a consequence of a catastrophic bifurcation 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 its several indicators in the context of a well-defined daily bubble; this bubble was induced by the recent worldwide financial crisis on  typical financial markets of small and middle to large capitalizations.  


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  1. PRESENTATION: Catastrophic bifurcations on financial markets, PDF document, version 1.4, 2.1MB

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Related papers

Presentation: Invited oral at 6 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Ryszard Kutner
See On-line Journal of 6 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2012-01-04 13:57
Revised:   2012-01-22 16:09