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Dynamic bifurcations on financial markets

Author

Listed:
  • Kozłowska, M.
  • Denys, M.
  • Wiliński, M.
  • Link, G.
  • Gubiec, T.
  • Werner, T.R.
  • Kutner, R.
  • Struzik, Z.R.

Abstract

We provide evidence that catastrophic bifurcation breakdowns or transitions, preceded by early warning signs such as flickering phenomena, are present on notoriously unpredictable financial markets. For this we construct robust indicators of catastrophic dynamical slowing down and apply these to identify hallmarks of dynamical catastrophic bifurcation transitions. This is done using daily closing index records for the representative examples of financial markets of small and mid to large capitalisations experiencing a speculative bubble induced by the worldwide financial crisis of 2007-08.

Suggested Citation

  • Kozłowska, M. & Denys, M. & Wiliński, M. & Link, G. & Gubiec, T. & Werner, T.R. & Kutner, R. & Struzik, Z.R., 2016. "Dynamic bifurcations on financial markets," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 126-142.
    • Handle: RePEc:eee:chsofr:v:88:y:2016:i:c:p:126-142
    DOI: 10.1016/j.chaos.2016.03.005
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