标题： 金融市场中的冲击、价格预期和阻尼简谐振荡器 显示英文标题

标题： Shocks in financial markets, price expectation, and damped harmonic oscillators

摘要： 使用修改后的阻尼谐波振子模型，该模型等价于具有价格预期的市场动态模型，我们分析了金融市场对冲击的反应。 为了做到这一点，我们收集了多种金融市场的指数数据，包括1987年黑色星期一、1998年俄罗斯危机、9·11事件后的崩溃（2001年）以及由于美国次贷危机导致的近期市场下跌（2008年）。 分析这些数据，我们能够确定每个市场感受到的冲击程度，一个表示市场吸收冲击能力的阻尼因子，以及与冲击后波动性相关的频率。 结果衡量了不同市场从此类冲击中恢复的效率，并测量了它们之间的一些依赖程度。 我们还使用所用指数之间的相关矩阵表明，如今金融市场比二十年前更加紧密相连。 显示英文摘要

摘要： Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gather data from indices of a variety of financial markets for the 1987 Black Monday, the Russian crisis of 1998, the crash after September 11th (2001), and the recent downturn of markets due to the subprime mortgage crisis in the USA (2008). Analyzing those data we were able to establish the amount by which each market felt the shocks, a dampening factor which expresses the capacity of a market of absorving a shock, and also a frequency related with volatility after the shock. The results gauge the efficiency of different markets in recovering from such shocks, and measure some level of dependence between them. We also show, using the correlation matrices between the indices used, that financial markets are now much more connected than they were two decades ago.