Inverse problems in Pareto’s demand theory and their applications to analysis of stock market crises-Reference-Cited by-同舟云学术

Inverse problems in Pareto’s demand theory and their applications to analysis of stock market crises

Published:2018-02-01 Issue:1 Volume:26 Page:95-108
ISSN:1569-3945
Container-title:Journal of Inverse and Ill-posed Problems
language:
Short-container-title:

Author:

Klemashev Nikolay I.¹,Shananin Alexander A.²,Zhang Shuhua³

Affiliation:

1. Moscow Institute Of Physics and Technology, Institutskiy per. 9, Dolgoprudny, MoscowRegion, 141701, Russia

2. Moscow Institute Of Physics and Technology, Institutskiy per. 9, Dolgoprudny, MoscowRegion, 141701; and Dorodnicyn Computing Centre, FRC CSC RAS, Vavilov st. 40, Moscow, 119333; and Moscow State University, Leninskiye Gory 1-52, Moscow, 119991; and RUDN University, Department of Nonlinear Analysis and Optimization, Miklukho-Maklaya st. 6, Moscow, 117198, Russia

3. Coordinated Innovation Center for Computable Modeling in Management Science, Tianjin University of Finance and Economics, Tianjin300222, P. R. China

Abstract

AbstractWe develop an approach to the analysis of stock market crises based on the generalized nonparametric method. The generalized nonparametric method is based on solvability and regularization of ill-posed inverse problem in Pareto’s demand theory. Our approach allows one to select a few companies that may be considered as the main reason for the crisis. We apply this approach to study the Chinese stock market crash in 2015.

Funder

Russian Science Foundation

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics

Link

https://www.degruyter.com/document/doi/10.1515/jiip-2017-0021/pdf

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