英文标题：
《Bifurcation patterns of market regime transition》
---
作者：
Sergey Kamenshchikov
---
最新提交年份：
2016
---
英文摘要：
  In this paper mechanisms of reversion - momentum transition are considered. Two basic nonlinear mechanisms are highlighted: a slow and fast bifurcation. A slow bifurcation leads to the equilibrium evolution, preceded by stability loss delay of a control parameter. A single order parameter is introduced by Markovian chain diffusion, which plays a role of a precursor. A fast bifurcation is formed by a singular fusion of unstable and stable equilibrium states. The effect of a precatastrophic range compression is observed before the discrete change of a system. A diffusion time scaling is presented as a precursor of the fast bifurcation. The efficiency of both precursors in a currency market was illustrated by simulation of a prototype of a trading system.
---
中文摘要：
本文考虑了反转-动量跃迁的机制。重点介绍了两种基本的非线性机制：慢分岔和快分岔。一个缓慢的分岔导致平衡演化，然后是一个控制参数的失稳延迟。马尔可夫链扩散引入了一个单级参数，它起到了前驱体的作用。不稳定平衡态和稳定平衡态的奇异融合形成了快速分岔。在系统离散变化之前，可以观察到前营养范围压缩的影响。扩散时间标度是快速分岔的前兆。通过模拟一个交易系统的原型，说明了这两种前体在货币市场中的效率。
---
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
--

---
PDF下载：
-->