Detecting criticality in complex univariate time-series: A case study of the U.S. housing market crisis and other markets

作者：

Highlights：

• An ongoing question regarding asset markets is: Do bubbles occur and do they burst?

• We show the 2007–08 U.S. housing crash was an out of equilibrium ‘bursting’ event.

• We use Catastrophe Theory to make explicit the location of the market’s stable modes.

• These modes change location so the market bursts by passing through a tipping point.

摘要

•An ongoing question regarding asset markets is: Do bubbles occur and do they burst?•We show the 2007–08 U.S. housing crash was an out of equilibrium ‘bursting’ event.•We use Catastrophe Theory to make explicit the location of the market’s stable modes.•These modes change location so the market bursts by passing through a tipping point.

论文关键词：Housing markets,Critical phenomena,Multiple equilibria,Stochastic catastrophe theory,Bifurcations,Complex systems

论文评审过程：Received 16 July 2021, Revised 23 June 2022, Accepted 4 August 2022, Available online 15 August 2022, Version of Record 30 August 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.118437