标题： 从道琼斯工业平均指数时间序列中检测到的宏观经济相变 显示英文标题

标题： Macroeconomic Phase Transitions Detected from the Dow Jones Industrial Average Time Series

摘要： 在本文中，我们对1997年1月至2008年8月道琼斯工业平均指数的时间序列进行了统计分割和聚类分析。 将指数变动和对数指数变动建模为平稳高斯过程，我们分别找到了116个和119个统计平稳段。 这些段可以分为五到七个聚类，每个聚类代表不同的宏观经济阶段。 宏观经济阶段主要通过其波动性来区分。 我们发现，以DJIA衡量的美国经济大部分时间处于低波动阶段和高波动阶段。 前者大致与经济增长相关，而后者包含标准经济周期中的经济收缩阶段。 这两个阶段被中等波动的市场所打断，但极端高波动的市场崩盘主要出现在高波动阶段。 从各个阶段的时间分布来看，我们看到从1998年中期到2003年中期的高波动阶段，以及从2007年中期开始的另一个阶段（当前的全球金融危机）。 从低波动阶段向高波动阶段的转变之前有一系列前兆冲击，而从高波动阶段向低波动阶段的转变之前有一系列反转冲击。 这两种转变的时间尺度大约为一年。 我们还确定1997年7月的亚洲金融危机是导致1998年中期转变的触发因素，以及一个未命名的2006年5月与中国市场修正相关的市场事件是导致2007年中期转变的触发因素。 显示英文摘要

摘要： In this paper, we perform statistical segmentation and clustering analysis of the Dow Jones Industrial Average time series between January 1997 and August 2008. Modeling the index movements and log-index movements as stationary Gaussian processes, we find a total of 116 and 119 statistically stationary segments respectively. These can then be grouped into between five to seven clusters, each representing a different macroeconomic phase. The macroeconomic phases are distinguished primarily by their volatilities. We find the US economy, as measured by the DJI, spends most of its time in a low-volatility phase and a high-volatility phase. The former can be roughly associated with economic expansion, while the latter contains the economic contraction phase in the standard economic cycle. Both phases are interrupted by a moderate-volatility market, but extremely-high-volatility market crashes are found mostly within the high-volatility phase. From the temporal distribution of various phases, we see a high-volatility phase from mid-1998 to mid-2003, and another starting mid-2007 (the current global financial crisis). Transitions from the low-volatility phase to the high-volatility phase are preceded by a series of precursor shocks, whereas the transition from the high-volatility phase to the low-volatility phase is preceded by a series of inverted shocks. The time scale for both types of transitions is about a year. We also identify the July 1997 Asian Financial Crisis to be the trigger for the mid-1998 transition, and an unnamed May 2006 market event related to corrections in the Chinese markets to be the trigger for the mid-2007 transition.