In this work we develop a new measure to study the behavior of stochastic time series, which permits to distinguish events which are different from the ordinary, like financial crises. We identify from the data well known market crashes such as Black Thursday (1929), Black Monday (1987) and Subprime crisis (2008)  with clear and robust results. We also show that the analysis has forecasting capabilities. We apply the method to the market fluctuations of 2011. From these results it appears as if the apparent crisis of 2011 is of a different nature from the other three  .
Following the thermodynamic formulation of multifractal measure that was shown to be capable of detecting large fluctuations at an early stage, here we propose a new index which permits us to distinguish events like financial crisis in real time . We calculate the partition function from where we obtain thermodynamic quantities analogous to free energy and specific heat. The index is defined as the normalized energy variation and it can be used to study the behavior of stochastic time series, such as financial market daily data. Famous financial market crashes - Black Thursday (1929), Black Monday (1987) and Subprime crisis (2008) - are identified with clear and robust results. The method is also applied to the market fluctuations of 2011. From these results it appears as if the apparent crisis of 2011 is of a different nature from the other three . We also show that the analysis has forecasting capabilities .
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In this work we develop a new measure
Following the thermodynamic formulation of multifractal measure that was shown to be capable of detecting large fluctuations at an early stage, here we propose a new index which permits us
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study the behavior of stochastic time series, which permits to
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which are different from the ordinary, like financial crises. We identify from the data well known market crashes such as
like financial crisis in real time . We calculate the partition function from where we obtain thermodynamic quantities analogous to free energy and specific heat. The index is defined as the normalized energy variation and it can be used to study the behavior of stochastic time series, such as financial market daily data. Famous financial market crashes -
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- are identified
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We also show that the analysis has forecasting capabilities. We apply the method
The method is also applied
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. We also show that the analysis has forecasting capabilities