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  • 标题:Contagion in the world's stock exchanges seen as a set of coupled oscillators
  • 作者:Lucia Bellenzier ; Jørgen Vitting Andersen ; Giulia Rotundo
  • 期刊名称:Documents de Travail du Centre d'Economie de la Sorbonne
  • 印刷版ISSN:1955-611X
  • 出版年度:2015
  • 出版社:Centre d'Economie de la Sorbonne
  • 摘要:We study how the phenomenon of contagion can take place in the network of the world's stock exchanges when each stock exchange acts as an integrate-and-fire oscillator. The characteristic non-linear price behavior of the integrate-and-fire oscillators is supported by empirical data and has a behavioral origin. One advantage of the integrate-and-fire dynamics is that it enables for a direct identification of cause and effect of price movements, without the need for statistical statistical tests such as for example Granger causality tests often used in the identification of causes of contagion. Our methodology can thereby identify the most relevant nodes with respect to onset of contagion in the network of stock exchanges, as well as identify potential periods of high vulnerability of the network. The model is characterized by a separation of time scales created by a slow build up of stresses, for example due to (say monthly/yearly) macroeconomic factors and then a fast (say hourly/daily) release of stresses through “price-quakes” of price movements across the worlds network of stock exchanges.
  • 关键词:Price-quake; complex system; integrate-and-fire oscillators
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