Financial markets’ deterministic aspects modeled by a low-dimensional equation
Abstract We ask whether empirical finance market data (Financial Stress Index, swap and equity, emerging and developed, corporate and government, short and long maturity), with their recently observed alternations between calm periods and financial turmoil, could be described by a low-dimensional de...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Nature Portfolio
2022-02-01
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| Series: | Scientific Reports |
| Online Access: | https://doi.org/10.1038/s41598-022-05765-z |
| _version_ | 1798023934886543360 |
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| author | Giuseppe Orlando Michele Bufalo Ruedi Stoop |
| author_facet | Giuseppe Orlando Michele Bufalo Ruedi Stoop |
| author_sort | Giuseppe Orlando |
| collection | DOAJ |
| description | Abstract We ask whether empirical finance market data (Financial Stress Index, swap and equity, emerging and developed, corporate and government, short and long maturity), with their recently observed alternations between calm periods and financial turmoil, could be described by a low-dimensional deterministic model, or whether this requests a stochastic approach. We find that a deterministic model performs at least as well as one of the best stochastic models, but may offer additional insight into the essential mechanisms that drive financial markets. |
| first_indexed | 2024-04-11T17:54:19Z |
| format | Article |
| id | doaj.art-66894d01c6ce4f2aaff4976b99a01ee5 |
| institution | Directory Open Access Journal |
| issn | 2045-2322 |
| language | English |
| last_indexed | 2024-04-11T17:54:19Z |
| publishDate | 2022-02-01 |
| publisher | Nature Portfolio |
| record_format | Article |
| series | Scientific Reports |
| spelling | doaj.art-66894d01c6ce4f2aaff4976b99a01ee52022-12-22T04:10:57ZengNature PortfolioScientific Reports2045-23222022-02-0112111310.1038/s41598-022-05765-zFinancial markets’ deterministic aspects modeled by a low-dimensional equationGiuseppe Orlando0Michele Bufalo1Ruedi Stoop2Department of Economics and Finance, University of BariDepartment of Methods and Models for Economics, Territory and Finance, University of Rome “La Sapienza”Department of Physics and of Neuroinformatics, University and ETH of ZürichAbstract We ask whether empirical finance market data (Financial Stress Index, swap and equity, emerging and developed, corporate and government, short and long maturity), with their recently observed alternations between calm periods and financial turmoil, could be described by a low-dimensional deterministic model, or whether this requests a stochastic approach. We find that a deterministic model performs at least as well as one of the best stochastic models, but may offer additional insight into the essential mechanisms that drive financial markets.https://doi.org/10.1038/s41598-022-05765-z |
| spellingShingle | Giuseppe Orlando Michele Bufalo Ruedi Stoop Financial markets’ deterministic aspects modeled by a low-dimensional equation Scientific Reports |
| title | Financial markets’ deterministic aspects modeled by a low-dimensional equation |
| title_full | Financial markets’ deterministic aspects modeled by a low-dimensional equation |
| title_fullStr | Financial markets’ deterministic aspects modeled by a low-dimensional equation |
| title_full_unstemmed | Financial markets’ deterministic aspects modeled by a low-dimensional equation |
| title_short | Financial markets’ deterministic aspects modeled by a low-dimensional equation |
| title_sort | financial markets deterministic aspects modeled by a low dimensional equation |
| url | https://doi.org/10.1038/s41598-022-05765-z |
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