Dynamic bifurcations on financial markets

M. Kozłowska, M. Denys, M. Wiliński, G. Link, T. Gubiec, T.R. Werner, R. Kutner and Z.R. Struzik

Chaos, Solitons & Fractals, 2016, vol. 88, issue C, 126-142

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.

Keywords: Catastrophic bifurcation breakdown; Flickering phenomena; Catastrophic slowing down; Early-warning signal; Worldwide financial crisis (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:88:y:2016:i:c:p:126-142

DOI: 10.1016/j.chaos.2016.03.005

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