Correlations, Risk and Crisis: From Physiology to Finance

  title={Correlations, Risk and Crisis: From Physiology to Finance},
  author={Alexander N. Gorban and Elena V. Smirnova and Tatiana A Tyukina},
  journal={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… Expand
General Laws of Adaptation to Environmental Factors: From Ecological Stress to Financial Crisis
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Recurrence quantification analysis on a Kaldorian business cycle model
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Early-warning signals of critical transition: Effect of extrinsic noise.
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Predicting default rates by capturing critical transitions in the macroeconomic system
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Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems. Expand
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Detailed study of the financial empirical correlation matrix of the 30 companies comprised by DAX within the period of the last 11 years, using the time-window of 30 trading days, is presented. ThisExpand
The Spread of the Credit Crisis: View from a Stock Correlation Network
The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however,Expand
Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series
We use methods of random matrix theory to analyze the cross-correlation matrix C of price changes of the largest 1000 US stocks for the 2-year period 1994-95. We find that the statistics of most ofExpand
Introduction to Econophysics
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In this paper, we examine linear and nonlinear co-movements that appear in the real exchange rates of a group of 28 developed and developing countries. The matrix of Pearson correlation and PhaseExpand
Is the Correlation in International Equity Returns Constant: 1960-90?
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In a recent Concepts paper in Ecology, Thomson et al. emphasized that assumptions of conventional correlation and regression analyses fundamentally conflict with the ecological concept of limitingExpand
Selection theorem for systems with inheritance
A non-linear kinetic system with conservation of supports for distribu- tions has generically flnite-dimensional asymptotics, which demonstrates the effects of natural selection in systems with additional symmetry. Expand
Variety and volatility in financial markets
  • Lillo, Mantegna
  • Mathematics, Physics
  • Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics
  • 2000
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