Analysis of the Lehman Brothers collapse and the Flash Crash event by applying wavelets methodologies

作者：Beccar Varela Maria P; Mariani Maria C^*; Tweneboah Osei K; Florescu Lonut

来源：Physica A: Statistical Mechanics and Its Applications , 2017, 474: 162-171.

DOI：10.1016/j.physa.2017.01.064

• Wavelets methodology
• High frequency financial data
• Lehman Brothers collapse
• Flash Crash event

In this study, we apply a wavelet methodology initially developed for geophysical data to financial data. Specifically, the method distinguishes between natural tectonic earthquakes and man made explosions. We exemplify using time series data from two financial events: the Lehman Brothers collapse and the Flash Crash event. We conclude that the Lehman Brothers collapse behaves like a natural earthquake while the Flash Crash event behaves like a human made explosion. This study may imply that the Lehman Brothers type events may be predicted, while sudden Flash Crash type events are not predictable. Published by Elsevier B.V.

• 出版日期2017-5-15