摘要翻译：
用Ito随机微分方程研究了描述大规模金融危机后市场动态的模型。物理上，模型描述了一个过阻尼布朗粒子在噪声强度变化的影响下在非平稳的一维势$u$中运动，这取决于粒子的位置$x$。根据经验数据，对Kramers-Moyal系数$D_1,2}$的近似估计可以相当明确地预测$D_1=-\partial U/\partial x$和波动率$\sim\sqrt{D_2}$引入的势的行为。结果表明，所提出的模型很好地描述了与1987年10月大金融危机有关的最著名的经验事实。\
---
英文标题：
《Market dynamics after large financial crash》
---
作者：
G.L. Buchbinder and K.M. Chistilin
---
最新提交年份：
2008
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
--
一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
--

---
英文摘要：
  The model describing market dynamics after a large financial crash is considered in terms of the stochastic differential equation of Ito. Physically, the model presents an overdamped Brownian particle moving in the nonstationary one-dimensional potential $U$ under the influence of the variable noise intensity, depending on the particle position $x$. Based on the empirical data the approximate estimation of the Kramers-Moyal coefficients $D_{1,2}$ allow to predicate quite definitely the behavior of the potential introduced by $D_1 = - \partial U /\partial x$ and the volatility $\sim \sqrt{D_2}$. It has been shown that the presented model describes well enough the best known empirical facts relative to the large financial crash of October 1987. \
---
PDF链接：
https://arxiv.org/pdf/0807.2083