论文标题
股票市场动态的复发措施和过渡
Recurrence measures and transitions in stock market dynamics
论文作者
论文摘要
金融市场被理解为复杂的动力系统，其动态经常使用通常来自股票市场的非组织和简短数据集进行分析。对于此类数据集，可靠的分析方法基于根据研究期间的数据集构建的复发图和复发网络。在这项研究中，我们使用基于复发的措施对全球26个市场的基础动态的复杂性进行了全面分析。我们还研究了2008年全球金融危机期间的时间序列的滑动窗口分析所揭示的过渡性质的趋势，并将其与最新的大流行相关锁定期间的变化进行了比较。我们表明，从复发模式中得出的措施可用于捕获股票市场动态中过渡的性质。我们的研究表明，2008年左右的变化表明随机性驱动的转变，这与大流行期间的过渡不同。
The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on recurrence plots and recurrence networks, constructed from the data sets over the period of study. In this study, we do a comprehensive analysis of the complexity of the underlying dynamics of 26 markets around the globe using recurrence based measures. We also examine trends in the nature of transitions as revealed from these measures by the sliding window analysis along the time series during the global financial crisis of 2008 and compare that with changes during the most recent pandemic related lock down. We show that the measures derived from recurrence patterns can be used to capture the nature of transitions in stock market dynamics. Our study reveals that the changes around 2008 indicate stochasticity driven transition, which is different from the transition during the pandemic.
