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Models of the World’s Stock and Financial Markets in Crisis 2007 – 2009 and Beyond
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UDC: 517.928.4, 330.4, 336
Publication Language: Russian
Stuc. intelekt. 2012; 17(3):275-283
Abstract: The model of the diffusion index of business activity PMI_EURO was taken as a basic model for the study of markets. The analysis of the statistical cycles was made and five statistics cycles were found (in parentheses a numerical characteristic of the period, i.e. the magnitude of the local Hurst exponent is given): pre-crisis period is August 2006-August 2007 (0.4527), the beginning of the crisis is August 2007 - August 2008 (0.4649), the top of the crisis is August 2008 - February 2010 (1.4202), the beginning of recovery is February 2010 - February 2011 (0.2483), sustainable recovery is February 2010 - currently (0.9735).
Keywords: system analysis, stock and financial markets, diffusion index, statistics cycle.
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