两种分形重叠时间序列：地震与市场崩盘
物理与社会
2008-12-02 v1 统计金融
摘要
我们发现（模型地震或）当一个康托尔集以均匀相对速度在另一个康托尔集上移动时产生的重叠时间序列，与股票价格时间序列在特征上存在显著的相似性。基于这些观测，本文提出了一种针对部分崩盘的预测方法。
引用
@article{arxiv.0712.3992,
title = {Two Fractal Overlap Time Series: Earthquakes and Market Crashes},
author = {Bikas K. Chakrabarti and Arnab Chatterjee and Pratip Bhattacharyya},
journal= {arXiv preprint arXiv:0712.3992},
year = {2008}
}
备注
2 column RevTeX4, 4 pages, 5 eps figures; Published in "Econophysics of Stock and Other Markets", Eds. A. Chatterjee, B. K. Chakrabarti, New Economic Windows Series, Springer, Milan (2006); Sec V and 2 refs added new in this arXiv version