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

被引：3

作者：

Klemashev, Nikolay I. ^{[1
]}

Shananin, Alexander A. ^{[1
,2
,3
,4
]}

Zhang, Shuhua ^{[5
]}

机构：

[1] Moscow Inst Phys & Technol, Inst Skiy Per 9, Dolgoprudnyi 141701, Moscow Region, Russia

[2] RAS, CSC, FRC, Dorodnicyn Comp Ctr, Vavilov St 40, Moscow 119333, Russia

[3] Moscow MV Lomonosov State Univ, Leninskiye Gory 1-52, Moscow 119991, Russia

[4] RUDN Univ, Dept Nonlinear Anal & Optimizat, Miklukho Maklaya St 6, Moscow 117198, Russia

[5] Tianjin Univ Finance & Econ, Coordinated Innovat Ctr Computable Modeling Manag, Tianjin 300222, Peoples R China

来源：

JOURNAL OF INVERSE AND ILL-POSED PROBLEMS | 2018年 / 26卷 / 01期

关键词：

Inverse problem; mathematical programming; revealed preference; demand theory; forecasting; REVEALED PREFERENCE; MONEY PUMP; INTEGRABILITY;

D O I：

10.1515/jiip-2017-0021

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We 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.

引用

页码：95 / 108

页数：14

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