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Examining the dynamical transition in the Dow Jones Industrial Index from Bull to Bear market using Recurrence Quantification Analysis
(2012-11-20)
We present evidence of phase transitions (periodic to chaotic and
chaotic to chaotic) in the Dow Jones Industrial Index as it transitions
from Bull to Bear market. There is also evidence of a completely unpredictable
(i.e., ...
An investigation into the dynamics of financial catastrophe
(Economics Working Paper, 2012)
The paper captures the dynamics of interaction between the real and the
nancial sector in a model of endogenous credit that exhibits multiple
steady states and generates phase transitions with catastrophic abrupt-
ness. ...