Centro de Ciencias de la Complejidad, Universidad Nacional Autónoma de México, Ciudad de México, México.
Instituto de Matemáticas, Universidad Nacional Autónoma de México, Ciudad de México, México.
PLoS One. 2023 Mar 16;18(3):e0280487. doi: 10.1371/journal.pone.0280487. eCollection 2023.
In contrast with robust systems that resist noise or fragile systems that break with noise, antifragility is defined as a property of complex systems that benefit from noise or disorder. Here we define and test a simple measure of antifragility for complex dynamical systems. In this work we use our antifragility measure to analyze real data from return prices in the stock and cryptocurrency markets. Our definition of antifragility is the product of the return price and a perturbation. We explore different types of perturbations that typically arise from within the system. Our results suggest that for both the stock market and the cryptocurrency market, the tendency among the 'top performers' is to be robust rather than antifragile. It would be important to explore other possible definitions of antifragility to understand its role in financial markets and in complex dynamical systems in general.
与能抵抗噪声的稳健系统或因噪声而崩溃的脆弱系统相反，反脆弱性被定义为复杂系统的一种属性，这种属性能从噪声或无序中受益。在这里，我们定义并测试了一种用于复杂动力系统的简单反脆弱性度量方法。在这项工作中，我们使用反脆弱性度量方法来分析来自股票和加密货币市场的回报价格的真实数据。我们对反脆弱性的定义是回报价格和一个干扰项的乘积。我们探索了不同类型的干扰项，这些干扰项通常来自系统内部。我们的结果表明，对于股票市场和加密货币市场，“表现最好”的系统往往具有稳健性而不是反脆弱性。探索反脆弱性的其他可能定义以了解其在金融市场和一般复杂动力系统中的作用将是很重要的。
