首页 | 本学科首页   官方微博 | 高级检索  
     检索      

金融系统中的早期预警信号及其统计物理性质
引用本文:王焰辉,朱康.金融系统中的早期预警信号及其统计物理性质[J].经济数学,2020,37(4):47-52.
作者姓名:王焰辉  朱康
作者单位:福州理工学院 商学院 ,福建 福州 350506;福州理工学院 商学院 ,福建 福州 350506
摘    要:金融系统与其他复杂系统一样具有临界阈值,系统状态在到达临界点之前会显示微小的变化.运用统计物理的方法研究期货价格的方差和自相关特性,引入布朗运动和Tsallis-q-Gauss分布,研究其分布函数,呈现“尖头胖尾”的特征;引入互关联函数,研究方差与自相关分别与价格时间序列的关联情况,并同时进行比较,发现其具有长程相关性.最终验证了方差和自相关作为金融系统中期货市场早期预警信号的可行性.

关 键 词:早期预警信号  方差  自相关  布朗运动  Tsallis-q-Gauss分布

The Early-Warning Signals in the Financial System and its Statistical Physical Properties
WANG Yanhui,ZHU Kang.The Early-Warning Signals in the Financial System and its Statistical Physical Properties[J].Mathematics in Economics,2020,37(4):47-52.
Authors:WANG Yanhui  ZHU Kang
Abstract:Financial system, similar to other complex systems, has its critical threshold, and there will be a slight variation when the system reaches its critical threshold. This paper studies the variance and autocorrelation of forward price by using the method of statistical physics. The Brown Motion and Tsallis-q-Gauss Distribution are introduced to study the distribution function, which is featured by a "peak and fat tail". Also the cross correlation is introduced to study the respective corrections between the time series of price and autocorrelation or variance. After comparison, it can be found that there is a long range correlation. And this paper finally proves the feasibility of taking autocorrelation and variance as early-warning signals.
Keywords:early-warning signals  variance  autocorrelation  Brownian motion  Tsallis-q-Gauss distribution
本文献已被 万方数据 等数据库收录!
点击此处可从《经济数学》浏览原始摘要信息
点击此处可从《经济数学》下载免费的PDF全文
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号