Jurczyk, Jan and Rehberg, Thorsten and Eckrot, Alexander and Morgenstern, Ingo (2017) Measuring critical transitions in financial markets. SCIENTIFIC REPORTS, 7: 11564. ISSN 2045-2322,
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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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | RANDOM-MATRIX THEORY; PORTFOLIO OPTIMIZATION; LOGISTIC-REGRESSION; SYSTEMIC RISK; TIME-SERIES; MODEL; |
| Subjects: | 500 Science > 530 Physics 600 Technology > 610 Medical sciences Medicine |
| Divisions: | Medicine > Institut für Funktionelle Genomik > Lehrstuhl für Funktionelle Genomik (Prof. Oefner) Physics > Institute of Theroretical Physics > Professor Morgenstern > Group Ingo Morgenstern |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 14 Dec 2018 13:15 |
| Last Modified: | 25 Feb 2019 13:16 |
| URI: | https://pred.uni-regensburg.de/id/eprint/1183 |
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