Dynamic bifurcations on financial markets |
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| Institution: | 1. Faculty of Physics, University of Warsaw, Pastera 5, 02–093 Warsaw, Poland;2. The University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-0033, Japan;3. RIKEN Brain Science Institute, 2-1 Hirosawa, Wako-shi 351-0198, Japan;4. Institute of Theoretical Physics and Astrophysics, The University of Gdańsk, Wita Stwosza 57, 80–952 Gdańsk, Poland;1. Institute of Theoretical Physics and Astrophysics, Gdańsk University, 80-308 Gdańsk, ul. Wita Stwosza 57, Poland;2. First Department of Cardiology, Medical University of Gdansk, 80-211 Gdańsk, ul. Debinki 7, Poland;3. RIKEN Brain Science Institute, 2-1 Hirosawa, Wako-shi 351-0198, Japan;4. Graduate School of Education, The University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-0033, Japan;1. Centro Brasileiro de Pesquisas Fisicas, National Institute of Science and Technology for Complex Systems, Rua Xavier Sigaud 150, Rio de Janeiro 22290-180 RJ, Brazil;2. Santa Fe Institute, 1399 Hyde Park Road, Santa Fe, NM 87501, USA |
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| Abstract: | We provide evidence that catastrophic bifurcation breakdowns or transitions, preceded by early warning signs such as flickering phenomena, are present on notoriously unpredictable financial markets. For this we construct robust indicators of catastrophic dynamical slowing down and apply these to identify hallmarks of dynamical catastrophic bifurcation transitions. This is done using daily closing index records for the representative examples of financial markets of small and mid to large capitalisations experiencing a speculative bubble induced by the worldwide financial crisis of 2007-08. |
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