Supporting Information: Lack of critical slowing down suggests that financial meltdowns are not critical transitions, yet rising variability signals systemic risk
نویسندگان
چکیده
A No early warning signals for stochastic transitions driven by large but constant strength of stochasticity. . . . . . . . . . . . . . . . . . . . . . . . 4 B No early warning signals for stochastic transitions in agent based models driven by large but constant strength of stochasticity. . . . . . . . . . . . 5 C Sensitivity analysis for early warning signals of crashes in DJI. . . . . . . 6 D Sensitivity of p-values for all three indicators for all crashes in DJI. . . . . 7 E Early warning signals of major financial crashes of S&P 500 for three major crashes of 1987, 2000 and 2008. . . . . . . . . . . . . . . . . . . . . 8 F Sensitivity analysis for all three indicators for all crashes in S&P 500. . . 9 G Recent trends of EWS for S&P 500 . . . . . . . . . . . . . . . . . . . . . . 10 H Early warning signals of major financial crashes of NASDAQ for three major crashes of 1987, 2000 and 2008. . . . . . . . . . . . . . . . . . . . . 11 I Sensitivity analysis for the results of NASDAQ . . . . . . . . . . . . . . . 12 J Recent trends of EWS for NASDAQ . . . . . . . . . . . . . . . . . . . . . 13 K Onset of strong trends of indicators roughly coincide across three stock markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 L Early warning signals o financial crashes of German and UK stock indices in 2000 and 2008. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 M Recent trends of German (DAX) and UK (FTSE) stock market indices . . 16 N Results of volatility . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 O Early warning signals of financial crashes for individual firms of DJI in 2008 and Cross-correlations. . . . . . . . . . . . . . . . . . . . . . . . . . . 19
منابع مشابه
Lack of Critical Slowing Down Suggests that Financial Meltdowns Are Not Critical Transitions, yet Rising Variability Could Signal Systemic Risk
Complex systems inspired analysis suggests a hypothesis that financial meltdowns are abrupt critical transitions that occur when the system reaches a tipping point. Theoretical and empirical studies on climatic and ecological dynamical systems have shown that approach to tipping points is preceded by a generic phenomenon called critical slowing down, i.e. an increasingly slow response of the sy...
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