2024/03/19 by Shigē Péng, Peng, Shige, Shuzhen Yang +3
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Risk Management (q-fin.RM)
paper · pdf · doi:10.48550/arxiv.2403.12647
openalex publication_date 2024/03/19 · openalex created_date 2024/03/21 · openalex updated_date 2026/07/28
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators revealed that most early warning systems are qualitative and causal. However, these models cannot be used to forecast the risk of the financial market benchmark. Therefore, from a quantitative analysis perspective, we focus on the mean and volatility uncertainties of the stock index (benchmark) and then construct three early warning indicators: mean uncertainty, volatility uncertainty, and ALM-G-value at risk. Based on the novel warning indicators, we establish a new abnormal fluctuations warning model, which will provide a short-term warning for the country, society, and individuals to reflect in advance.