Measuring critical transitions in financial markets

Tipping points in complex systems are structural transitions from one state to another. In financial markets these critical points are connected to systemic risks, which have led to financial crisis in the past. Due to this, researchers are studying tipping points with different methods. This paper...

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Bibliographic Details
Published in:Scientific reports 2017-09, Vol.7 (1), p.11564-6, Article 11564
Main Authors: Jurczyk, Jan, Rehberg, Thorsten, Eckrot, Alexander, Morgenstern, Ingo
Format: Article
Language:English
Subjects:
639/705/1046
639/705/117
639/766/530/2795
639/766/530/2803
Humanities and Social Sciences
multidisciplinary
Portfolio management
Science
Science (multidisciplinary)
Securities markets
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Summary:Tipping points in complex systems are structural transitions from one state to another. In financial markets these critical points are connected to systemic risks, which have led to financial crisis in the past. Due to this, researchers are studying tipping points with different methods. This paper introduces a new method which bridges the gap between real-world portfolio management and statistical facts in financial markets in order to give more insight into the mechanics of financial markets.
ISSN:2045-2322
2045-2322
DOI:10.1038/s41598-017-11854-1