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Catastrophic bifurcations on financial markets |
Marzena Kozłowska 1, Tomasz Gubiec 1, Mateusz Denys 1, Adam Sienkiewicz 1, Tomasz R. Werner 2, Zbigniew R. Struzik 3, Ryszard Kutner 1 |
1. University of Warsaw, Institute of Experimental Physics (IFDUW), Hoża 69, Warsaw 00-681, Poland |
Abstract |
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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Presentation: Invited oral at 6 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Ryszard KutnerSee 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 |