Identifying financial crises in real time

Details Identifying financial crises in real time Identifying financial crises in real time

2012-04-14

arxiv.org/abs/1204.3136v1

Economy

Quantitative Finance

Statistical Finance

6 pages, 4 figures

Scientific paper

In this work we develop a new measure to study the behavior of stochastic time series, which permits to distinguish events which are different from the ordinary, like financial crises. We identify from the data well known market crashes such as Black Thursday (1929), Black Monday (1987) and Subprime crisis (2008) with clear and robust results. We also show that the analysis has forecasting capabilities. We apply the method to the market fluctuations of 2011. From these results it appears as if the apparent crisis of 2011 is of a different nature from the other three.

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