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- W4300890211 abstract "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." @default.
- W4300890211 created "2022-10-04" @default.
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- W4300890211 date "2015-07-11" @default.
- W4300890211 modified "2023-10-18" @default.
- W4300890211 title "Bifurcation patterns of market regime transition" @default.
- W4300890211 doi "https://doi.org/10.48550/arxiv.1507.03141" @default.
- W4300890211 hasPublicationYear "2015" @default.
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