Synchrony in broadband fluctuation and the 2008 financial crisis.
other · Level V
Where this comes from
- Record sourced from PubMed, PMID 24204782.
- Also identified by DOI 10.1371/journal.pone.0077254 and PMC identifier 3810396.
- Licence recorded as CC BY.
- The licence permits redistribution, so the abstract is shown in full and the full text is available from the publisher.
Abstract
We propose phase-like characteristics in scale-free broadband processes and consider fluctuation synchrony based on the temporal signature of significant amplitude fluctuation. Using wavelet transform, successful captures of similar fluctuation pattern between such broadband processes are demonstrated. The application to the financial data leading to the 2008 financial crisis reveals the transition towards a qualitatively different dynamical regime with many equity price in fluctuation synchrony. Further analysis suggests an underlying scale free "price fluctuation network" with large clustering coefficient.
Medical subject headings
- Commerce
- Models, Statistical
- Risk Sharing, Financial