| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480596 | Physica A: Statistical Mechanics and its Applications | 2013 | 7 Pages |
Abstract
⺠We report an innovative algorithm for detecting a crisis in a time series in real time. ⺠The algorithm gives robust results for well documented financial crises such as those of 1929 and 1987. ⺠The method treats stochastic fluctuations by analogy with statistical mechanics formalisms. ⺠We report unexpected results for financial data from 2011.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Eder Lucio da Fonseca, Fernando F. Ferreira, Paulsamy Muruganandam, Hilda A. Cerdeira,