Correlations, risk and crisis: From physiology to finance

Alexander N. Gorban, Elena V. Smirnova and Tatiana A. Tyukina

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 16, 3193-3217

Abstract: We study the dynamics of correlation and variance in systems under the load of environmental factors. A universal effect in ensembles of similar systems under the load of similar factors is described: in crisis, typically, even before obvious symptoms of crisis appear, correlation increases, and, at the same time, variance (and volatility) increases too. This effect is supported by many experiments and observations of groups of humans, mice, trees, grassy plants, and on financial time series.

Keywords: Correlations; Factor; Liebigs law; Synergy; Adaptation; Selection; Crisis indicator (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:16:p:3193-3217

DOI: 10.1016/j.physa.2010.03.035

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