CNRS, Institut Non Linéaire de Nice, Sophia Antipolis, Valbonne, France.
PLoS One. 2011;6(11):e26472. doi: 10.1371/journal.pone.0026472. Epub 2011 Nov 2.
Systemic risk has received much more awareness after the excessive risk taking by major financial instituations pushed the world's financial system into what many considered a state of near systemic failure in 2008. The IMF for example in its yearly 2009 Global Financial Stability Report acknowledged the lack of proper tools and research on the topic. Understanding how disruptions can propagate across financial markets is therefore of utmost importance.
METHODOLOGY/PRINCIPAL FINDINGS: Here, we use empirical data to show that the world's markets have a non-linear threshold response to events, consistent with the hypothesis that traders exhibit change blindness. Change blindness is the tendency of humans to ignore small changes and to react disproportionately to large events. As we show, this may be responsible for generating cascading events--pricequakes--in the world's markets. We propose a network model of the world's stock exchanges that predicts how an individual stock exchange should be priced in terms of the performance of the global market of exchanges, but with change blindness included in the pricing. The model has a direct correspondence to models of earth tectonic plate movements developed in physics to describe the slip-stick movement of blocks linked via spring forces.
CONCLUSIONS/SIGNIFICANCE: We have shown how the price dynamics of the world's stock exchanges follows a dynamics of build-up and release of stress, similar to earthquakes. The nonlinear response allows us to classify price movements of a given stock index as either being generated internally, due to specific economic news for the country in question, or externally, by the ensemble of the world's stock exchanges reacting together like a complex system. The model may provide new insight into the origins and thereby also prevent systemic risks in the global financial network.
2008 年，主要金融机构的过度风险承担行为将全球金融体系推向了许多人认为的接近系统性崩溃的状态，此后，系统性风险引起了更多关注。例如，国际货币基金组织（IMF）在其 2009 年的《全球金融稳定报告》中承认，缺乏关于这一主题的适当工具和研究。因此，了解干扰如何在金融市场中传播至关重要。
方法/主要发现：在这里，我们使用经验数据表明，世界市场对事件具有非线性阈值响应，这与交易者表现出变化盲视的假设一致。变化盲视是指人类忽略小变化并对大事件做出不成比例反应的倾向。正如我们所展示的，这可能是导致世界市场中级联事件（价格地震）的原因。我们提出了一个世界股票交易所的网络模型，该模型根据全球交易所市场的表现来预测单个股票交易所的定价，但包括定价中的变化盲视。该模型与物理学中用于描述通过弹簧力连接的块的滑动 - 粘性运动的地球构造板块运动模型有直接对应关系。
结论/意义：我们已经表明，世界股票交易所的价格动态遵循类似于地震的压力积累和释放的动态。非线性响应使我们能够将给定股票指数的价格波动分类为内部产生的，由于有关国家的特定经济新闻，或者外部产生的，由全球股票交易所的整体共同反应，就像一个复杂的系统一样。该模型可以为全球金融网络中的系统性风险的起源提供新的见解，并因此提供预防措施。
