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Measuring critical transitions in financial markets

Jurczyk, Jan, Rehberg, Thorsten, Eckrot, Alexander and Morgenstern, Ingo (2017) Measuring critical transitions in financial markets. Scientific Reports 7 (1), p. 11564.

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Date of publication of this fulltext: 22 Jan 2018 16:26

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Other URL: http://doi.org/10.1038/s41598-017-11854-1

Dieser Artikel ist in einer Zeitschrift aus dem Directory of Open Access (DOAJ) publiziert.


Abstract

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.


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Item type:Article
Date:14 September 2017
Institutions:Medicine > Institut für Funktionelle Genomik > Lehrstuhl für Funktionelle Genomik (Prof. Oefner)
Physics > Institute of Theroretical Physics > Professor Morgenstern > Group Ingo Morgenstern
Projects:Open Access Publizieren (DFG)
Identification Number:
ValueType
10.1038/s41598-017-11854-1DOI
Article number: 11564Other
Keywords:RANDOM-MATRIX THEORY; PORTFOLIO OPTIMIZATION; LOGISTIC-REGRESSION; SYSTEMIC RISK; TIME-SERIES; MODEL;
Dewey Decimal Classification:500 Science > 530 Physics
600 Technology > 610 Medical sciences Medicine
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:36313
Owner only: item control page

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