Correlations, Risk and Crisis: From Physiology to Finance

@article{Gorban2010CorrelationsRA,
  title={Correlations, Risk and Crisis: From Physiology to Finance},
  author={Alexander N. Gorban and E. Smirnova and T. A. Tyukina},
  journal={Physica A-statistical Mechanics and Its Applications},
  year={2010},
  volume={389},
  pages={3193-3217}
}
  • Alexander N. Gorban, E. Smirnova, T. A. Tyukina
  • Published 2010
  • Economics, Physics
  • Physica A-statistical Mechanics and Its Applications
  • 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. A… CONTINUE READING
    74 Citations
    Early-warning signals of critical transition: Effect of extrinsic noise.
    • 3
    • PDF
    Public Fears in Ukrainian Society
    • 3
    Anticipating Critical Transitions
    • 1,086
    • PDF
    Major Depression as a Complex Dynamic System
    • 149
    • PDF

    References

    SHOWING 1-10 OF 102 REFERENCES
    An Introduction to Econophysics: Correlations and Complexity in Finance
    • 2,730
    • PDF
    Dynamics of competition between collectivity and noise in the stock market
    • 76
    • PDF
    Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series
    • 805
    • Highly Influential
    • PDF
    Introduction to Econophysics
    • 1,027
    Network analysis of exchange data: interdependence drives crisis contagion
    • 139
    • PDF
    Selection theorem for systems with inheritance
    • 46
    • PDF
    Variety and volatility in financial markets
    • Lillo, Mantegna
    • Mathematics, Physics
    • Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics
    • 2000
    • 81
    • PDF