An Analysis of the Repeated Financial Earthquakes

Advances in Mathematical Finance and Applications

مقاله 5، دوره 4، شماره 3، مهر 2019، صفحه 59-76   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2019.1870256.1236

نویسندگان

Fateme Taleghani^{* 1}؛ Mahdi Salehi²؛ Alireza Shakibaiee¹

¹Department of economics and management, Shahid Bahonar university, Kerman, Iran

²Department of Mathematics and Statistics, Neyshabur university, Neyshabur, Iran

چکیده

Since the seismic behavior of the earth’s energy (which follows from the power law distribution) can be similarly seen in the energy realized by the stock markets, in this paper we consider a statistical study for comparing the financial crises and the earthquakes. For this end, the TP statistic, proposed by Pisarenko and et al. (2004), is employed for estimating the critical point or the lower threshold, i.e. the point beyond that the market energy follows from the power law (Pareto) distribution. The results confirm the deviation of the energy from the Pareto distribution in the high quantiles of the energy data. The upper threshold that the energy's distribution is changed from the Pareto to another distribution is also estimated by TP statistic. A simulation study is employed for checking out the statistical behavior of the estimated thresholds. Finally, the magnitude of the financial earthquakes is studied. The results indicate that the domestic and the international events have caused the financial earthquakes in Tehran Stock Exchange. Also, the positive relation between the daily energy released and the daily magnitude of the shocks that was connected by Gutenberg and Richter (1956) is confirmed.

کلیدواژه‌ها

Crises magnitude؛ Gutenberg–Richter law؛ TP statistic؛ Parametric bootstrap؛ Simulation study

سایر فایل های مرتبط با مقاله

59-76.pdf

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