IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2403.12647.html
   My bibliography  Save this paper

Uncertainty in the financial market and application to forecastabnormal financial fluctuations

Author

Listed:
  • Shige Peng
  • Shuzhen Yang
  • Wenqing Zhang

Abstract

The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators revealed that most early warning systems are qualitative and causal. However, these models cannot be used to forecast the risk of the financial market benchmark. Therefore, from a quantitative analysis perspective, we focus on the mean and volatility uncertainties of the stock index (benchmark) and then construct three early warning indicators: mean uncertainty, volatility uncertainty, and ALM-G-value at risk. Based on the novel warning indicators, we establish a new abnormal fluctuations warning model, which will provide a short-term warning for the country, society, and individuals to reflect in advance.

Suggested Citation

  • Shige Peng & Shuzhen Yang & Wenqing Zhang, 2024. "Uncertainty in the financial market and application to forecastabnormal financial fluctuations," Papers 2403.12647, arXiv.org.
    • Handle: RePEc:arx:papers:2403.12647
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2403.12647
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2403.12647. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.