Author
Listed:
- Cécile Bastidon
(IXXI - Institut Rhône-Alpin des systèmes complexes - ENS de Lyon - École normale supérieure de Lyon - Université de Lyon - UL2 - Université Lumière - Lyon 2 - UJML - Université Jean Moulin - Lyon 3 - Université de Lyon - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - Inria - Institut National de Recherche en Informatique et en Automatique - CNRS - Centre National de la Recherche Scientifique - UGA - Université Grenoble Alpes, LEAD - Laboratoire d'Économie Appliquée au Développement - UTLN - Université de Toulon)
- Antoine Parent
(LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8 Vincennes-Saint-Denis)
- Patrice Abry
(Phys-ENS - Laboratoire de Physique de l'ENS Lyon - ENS de Lyon - École normale supérieure de Lyon - Université de Lyon - Université de Lyon - CNRS - Centre National de la Recherche Scientifique)
- Pierre Borgnat
(Phys-ENS - Laboratoire de Physique de l'ENS Lyon - ENS de Lyon - École normale supérieure de Lyon - Université de Lyon - Université de Lyon - CNRS - Centre National de la Recherche Scientifique)
- Pablo Jensen
(IXXI - Institut Rhône-Alpin des systèmes complexes - ENS de Lyon - École normale supérieure de Lyon - Université de Lyon - UL2 - Université Lumière - Lyon 2 - UJML - Université Jean Moulin - Lyon 3 - Université de Lyon - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - Inria - Institut National de Recherche en Informatique et en Automatique - CNRS - Centre National de la Recherche Scientifique - UGA - Université Grenoble Alpes, Phys-ENS - Laboratoire de Physique de l'ENS Lyon - ENS de Lyon - École normale supérieure de Lyon - Université de Lyon - Université de Lyon - CNRS - Centre National de la Recherche Scientifique)
- Barbara Pascal
(LS2N - Laboratoire des Sciences du Numérique de Nantes - Inria - Institut National de Recherche en Informatique et en Automatique - CNRS - Centre National de la Recherche Scientifique - IMT Atlantique - IMT Atlantique - IMT - Institut Mines-Télécom [Paris] - Nantes Univ - ECN - NANTES UNIVERSITÉ - École Centrale de Nantes - Nantes Univ - Nantes Université - Nantes univ - UFR ST - Nantes université - UFR des Sciences et des Techniques - Nantes Université - pôle Sciences et technologie - Nantes Univ - Nantes Université)
AbstractAn original procedure is devised for the automated detection of global financial crises from multivariate databases of share prices. It consists of: i) the construction of time series from the time-windowed estimations of crisis relevant information (cross-correlations or volatilities); ii) the piecewise-linear filtering of times series by nonlinear filtering, achieved by nonsmooth proximal minimization implemented by an efficient iterative algorithm; iii) the estimation of a reassigned time in each window; iv) the detection of crises and estimation of their intensities by exploiting the multivariate structure of denoised time series. Applied to a world dataset of 32 indices over 6 decades, this original model based procedure detects all major crises from the reference lists. It also permits to devise a typology in reference to an archetypal financial crisis. It is automated, data-driven and reproducible notably for the analysis of financial crises over history, or contemporary crises on worldwide databases, via a novel toolbox. Finally it is robust to scarce, incomplete and noisy data.
Suggested Citation
Cécile Bastidon & Antoine Parent & Patrice Abry & Pierre Borgnat & Pablo Jensen & Barbara Pascal, 2025.
"Detecting global financial crises with scarce data by multivariate nonlinear filtering,"
Post-Print
hal-05234050, HAL.
Handle:
RePEc:hal:journl:hal-05234050
DOI: 10.1088/2632-072X/ade948
Note: View the original document on HAL open archive server: https://hal.science/hal-05234050v1
Download full text from publisher
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