论文标题
危机时期股票价格的集体行为作为对外部刺激的回应
Collective behavior of stock prices in the time of crisis as a response to the external stimulus
论文作者
论文摘要
我们使用Granger因果关系分析了美国和德国大公司之间的股票价格之间的互动。我们声称，在危机时期价格之间的配对格兰格因果关系互动的增加是市场对外部事件的同时反应或外部刺激的结果，这被认为是所有股票的共同驱动力，而不是价格本身之间真正因果预测性的结果。通过单股票价格系列中复发分析的另一种方法支持这一主张。股票价格的观察到的模式是通过添加一个多重外源性术语作为外部因素的代表来建模的，该代表是股票价格的几何布朗尼运动模型。总的来说，我们可以发现并建模大萧条的影响，这是2007/2008年抵押贷款危机的结果以及2020年初的Covid Out-Break的影响
We analyze the interaction between stock prices of big companies in the USA and Germany using Granger Causality. We claim that the increase in pair-wise Granger causality interaction between prices in the times of crisis is the consequence of simultaneous response of the markets to the outside events or external stimulus that is considered as a common driver to all the stocks, not a result of real causal predictability between the prices themselves. An alternative approach through recurrence analysis in single stock price series supports this claim. The observed patterns in the price of stocks are modelled by adding a multiplicative exogenous term as the representative for external factors to the geometric Brownian motion model for stock prices. Altogether, we can detect and model the effects of the Great Recession as a consequence of the mortgage crisis in 2007/2008 as well as the impacts of the Covid out-break in early 2020
