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来自股票市场时间序列横截面图拉普拉斯算子的指标能够精确确定市场崩溃的持续时间。

Indicator from the graph Laplacian of stock market time series cross-sections can precisely determine the durations of market crashes.

作者信息

Kang Zheng Tien, Yen Peter Tsung-Wen, Cheong Siew Ann

机构信息

Division of Physics and Applied Physics, School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore, Republic of Singapore.

出版信息

PLoS One. 2025 Jul 18;20(7):e0327391. doi: 10.1371/journal.pone.0327391. eCollection 2025.

Abstract

Stock market crashes are believed to occur unpredictably and have profound negative impacts on the economy and society. However, there is no universally agreed-upon definition of stock market crashes, whether it is an actual market state (implying that there is a start and an end) or just a transition between two different states (implying that it is a point event). Conventionally, extreme events in the financial markets can be determined using various change-point detection methods. However, these methods typically rely on a model of the time series data and/or use sliding time windows. Expanding on our previous work, we propose an alternative way of defining market crashes as short states by utilizing information cross-filtering by two time windows of the time derivative of the maximum Laplacian spectral gap across filtration parameters [Formula: see text]. When we applied this method to analyze the time derivative of the maximum spectral gap for S&P 500, Nikkei 225, SGX and TWSE, we found persistent peaks (found across different time window widths) associated with the COVID-19 crash starting in March 2020 and ending only in April 2020. These dates correspond roughly with the highest point before the crash and the lowest point after the crash seen in the indices. We also found non-persistent peaks (found only across short time windows or long time windows) before and after the COVID-19 crash. The explanations for these non-persistent peaks are peculiar to individual markets, and also particular market crashes such as the 2008 Global Financial Crisis. Based on this work, we argue that a definition of market crash in terms of a duration is more natural and perhaps more useful for risk management.

摘要

人们认为股市崩盘是不可预测地发生的,并且会对经济和社会产生深远的负面影响。然而,对于股市崩盘并没有一个普遍认可的定义,无论是作为一种实际的市场状态(意味着有开始和结束),还是仅仅作为两种不同状态之间的转变(意味着它是一个点事件)。传统上,金融市场中的极端事件可以使用各种变点检测方法来确定。然而,这些方法通常依赖于时间序列数据的模型和/或使用滑动时间窗口。在我们之前工作的基础上,我们提出了一种将市场崩盘定义为短状态的替代方法,即通过利用跨过滤参数的最大拉普拉斯谱隙的时间导数的两个时间窗口进行信息交叉过滤[公式:见原文]。当我们应用此方法分析标准普尔500指数、日经225指数、新加坡证券交易所指数和台湾证券交易所指数的最大谱隙的时间导数时,我们发现了与2020年3月开始并仅在2020年4月结束的新冠疫情引发的崩盘相关的持续峰值(在不同的时间窗口宽度下都能找到)。这些日期大致对应于指数在崩盘前的最高点和崩盘后的最低点。我们还在新冠疫情引发的崩盘之前和之后发现了非持续峰值(仅在短时间窗口或长时间窗口中找到)。这些非持续峰值的解释因个别市场而异,也因特定的市场崩盘(如2008年全球金融危机)而异。基于这项工作,我们认为从持续时间的角度定义市场崩盘更为自然,并且可能对风险管理更有用。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/eba2/12273962/d6e2d11af522/pone.0327391.g001.jpg

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