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Regular version of the site

Book chapter

The Application of Stochastic Bifurcation Theory to the Early Detection of Economic Bubbles

P. 354-361.
Dmitriev A., Дмитриев В. А., Сагайдак О. И., Tsukanova O. A.

The present research is devoted to the application of stochastic bifurcation theory to the early detection of economic bubbles. A nonlinear random dynamical system with the possible appearance of stochastic P-bifurcations with a fat-tailed probability density function is deduced. The possibility of application of chaotic bifurcation theory to the early detection of culminations of economic bubbles is investigated by the example of dot-com bubbles. For the increments of NASDAQ it is shown that the criterion of reaching the culmination for dot-com bubbles is a formation of a bimodal distribution with the subsequent conversion to a unimodal distribution as a result of codimension one P-bifurcation – a triple equilibrium point.

In book

Edited by: V. Ahuja, Y. Shi, D. Khazanchi et al. Vol. 122: 5th International Conference on Information Technology and Quantitative Management. Elsevier, 2017.