Correlations, risk and crisis: From physiology to finance

Описание

Тип публикации: статья из журнала

Год издания: 2010

Идентификатор DOI: 10.1016/j.physa.2010.03.035

Ключевые слова: Correlations, Factor, Liebigs law, Synergy, Adaptation, Selection, Crisis indicator, Environmental factors, External factors, Financial time series, General approach, Non-interactive, Time series, Financial data processing

Аннотация: We study the dynamics of correlation and variance in systems under the load of environmental factors. A universal effect in ensembles of similar systems under the load of similar factors is described: in crisis, typically, even before obvious symptoms of crisis appear, correlation increases, and, at the same time, variance (and volПоказать полностьюatility) increases too. This effect is supported by many experiments and observations of groups of humans, mice, trees, grassy plants, and on financial time series. A general approach to the explanation of the effect through dynamics of individual adaptation of similar non-interactive individuals to a similar system of external factors is developed. Qualitatively, this approach follows Selye's idea about adaptation energy. (C) 2010 Elsevier B.V. All rights reserved.

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Издание

Журнал: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Выпуск журнала: Vol. 389, Is. 16

Номера страниц: 3193-3217

ISSN журнала: 03784371

Место издания: AMSTERDAM

Издатель: ELSEVIER SCIENCE BV

Авторы

  • Gorban A.N. (University of Leicester)
  • Tyukina T.A. (University of Leicester)
  • Smirnova E.V. (Siberian Federal University)

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