Soft Matter and Complex Systems Seminar

Seminarium będzie kontynuacją wystąpienia z dn. 08.04.2011 r.The question of whether the early-warning signals are present in financial markets continues to fascinate both the reserach community and the general public. Interestingly, such early-warning signals have recently been identified and explained to be a consequence of a catastrophic bifurcation (CB) phenomenon observed in multiple physical systems, e.g. in ecosystems, climate dynamics and in medicine (epileptic seizure and asthma attack). In the present work we provide an analogical, positive identification of such phenomenon in the context of a well-defined daily bubble on a financial market typical of stock exchange of small and middle to large capitalisations. This we obtained by considering and verifying a list of indicators (following from CB) of a WIG (Warszawski Indeks Giełdowy) bubble on the Warsaw Stock Exchange, induced by the recent worldwide financial crisis. Technically, we focus on the largest relatively narrow peak (of one quarter width) in the time-dependent variance of detrended index WIG. In comparison with other peaks, this peak looks like a spike. By using several indicators within the range of the spike, such as: (i) a sudden strong increase in the variance and bimodal structure of the accumulative variance, (ii) linear indicators, such as the lag-1 autocorrelation function and AR(1) coefficient, both approaching their maximal values, (iii) the corresponding behavior of recovery rate and time, (iv) reddened power spectra, and (v) nonlinear indicators such as strongly nonvanishing accumulative skewness, we verify that indeed considered local spike seems to be the result of some catastrophic bifurcation.