Analysis of Multiple Structural Changes in Financial Contagion Based on the Largest Lyapunov Exponents
Joint Authors
Zhang, Xuechao
Hui, Xiao-Feng
Wang, Rui
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-06-18
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
A modified multiple structural changes model is built to test structural breaks of the financial system based on calculating the largest Lyapunov exponents of the financial time series.
Afterwards, the Lorenz system is used as a simulation example to inspect the new model.
As the Lorenz system has strong nonlinearity, the verification results show that the new model has good capability in both finding the breakpoint and revealing the changes in nonlinear characteristics of the time series.
The empirical study based on the model used daily data from the S&P 500 stock index during the global financial crisis from 2005 to 2012.
The results provide four breakpoints of the period, which divide the contagion into four stages: stationary, local outbreak, global outbreak, and recovery period.
An additional significant result is the obvious chaos characteristic difference in the largest Lyapunov exponents and the standard deviation at various stages, particularly at the local outbreak stage.
American Psychological Association (APA)
Wang, Rui& Hui, Xiao-Feng& Zhang, Xuechao. 2014. Analysis of Multiple Structural Changes in Financial Contagion Based on the Largest Lyapunov Exponents. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-454747
Modern Language Association (MLA)
Wang, Rui…[et al.]. Analysis of Multiple Structural Changes in Financial Contagion Based on the Largest Lyapunov Exponents. Mathematical Problems in Engineering No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-454747
American Medical Association (AMA)
Wang, Rui& Hui, Xiao-Feng& Zhang, Xuechao. Analysis of Multiple Structural Changes in Financial Contagion Based on the Largest Lyapunov Exponents. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-454747
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-454747