金融系统中的早期预警信号及其统计物理性质

The Early-Warning Signals in the Financial System and its Statistical Physical Properties

金融系统与其他复杂系统一样具有临界阈值,系统状态在到达临界点之前会显示微小的变化.运用统计物理的方法研究期货价格的方差和自相关特性,引入布朗运动和Tsallis-q-Gauss分布,研究其分布函数,呈现“尖头胖尾”的特征;引入互关联函数,研究方差与自相关分别与价格时间序列的关联情况,并同时进行比较,发现其具有长程相关性.最终验证了方差和自相关作为金融系统中期货市场早期预警信号的可行性.

Financial system,similar to other complex systems,has its critical threshold,and there will be a slight variation when the system reaches its critical threshold.This paper studies the variance and autocorrelation of forward price by using the method of statistical physics.The Brown Motion and Tsallis-q-Gauss Distribution are introduced to study the distribution function,which is featured by a"peak and fat tail".Also the cross correlation is introduced to study the respective corrections between the time series of price and autocorrelation or variance.After comparison,it can be found that there is a long range correlation.And this paper finally proves the feasibility of taking autocorrelation and variance as early-warning signals.