Uncertainty in the financial market and application to forecastabnormal financial fluctuations
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Acceso en línea: | |
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| _version_ | 1866913271984947200 |
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| author | Peng, Shige Yang, Shuzhen Zhang, Wenqing |
| author_facet | Peng, Shige Yang, Shuzhen Zhang, Wenqing |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_12647 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Uncertainty in the financial market and application to forecastabnormal financial fluctuations Peng, Shige Yang, Shuzhen Zhang, Wenqing Risk Management Mathematical Finance 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. |
| title | Uncertainty in the financial market and application to forecastabnormal financial fluctuations |
| topic | Risk Management Mathematical Finance |
| url | https://arxiv.org/abs/2403.12647 |