Entropies of Negative Incomes, Pareto-Distributed Loss, and Financial Crises 英文参考文献.docVIP

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Entropies of Negative Incomes, Pareto-Distributed Loss, and Financial Crises 英文参考文献.doc

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Entropies of Negative Incomes, Pareto-Distributed Loss, and Financial Crises 英文参考文献

EntropiesofNegativeIncomes,Pareto-DistributedLoss, andFinancialCrises JianboGao1,2,3*,JingHu4,XiangMao5,MiZhou6,BrianGurbaxani7,JohnnyLin8 1PMBIntelligenceLLC,WestLafayette,Indiana,UnitedStatesofAmerica,2LNM,InstituteofMechanics,ChineseAcademyofSciences,Beijing,People’sRepublicofChina, 3Mechanical and Materials Engineering, Wright State University, Dayton, Ohio, United States of America, 4Affymetrix, Inc., Santa Clara, California, United States of America, 5Department ofElectrical and Computer Engineering, University ofFlorida, Gainesville, Florida, United States of America, 6Fredric G. Levin College of Law, UniversityofFlorida,Gainesville,Florida,UnitedStatesofAmerica,7SchoolofElectricalandComputerEngineering,GeorgiaInstituteofTechnology,Atlanta,Georgia, UnitedStatesofAmerica,8PhysicsDepartment,NorthParkUniversity,Chicago,Illinois,UnitedStatesofAmerica Abstract Healthmonitoringofworldeconomyisanimportantissue,especiallyinatimeofprofoundeconomicdifficultyworld-wide. Themostimportantaspectofhealthmonitoringistoaccuratelypredicteconomicdownturns.Togaininsightsintohow economic crises develop, we present two metrics, positive and negative income entropy and distribution analysis, to analyzethecollective‘‘spatial’’andtemporaldynamicsofcompaniesinninesectorsoftheworldeconomyovera19year period from 1990–2008. These metrics provide accurate predictive skill with a very low false-positive rate in predicting downturns.Thenewmetricsalsoprovideevidenceofphasetransition-likebehaviorpriortotheonsetofrecessions.Sucha transition occurs when negative pretax incomes prior to or during economic recessions transition from a thin-tailed exponentialdistributiontothehigherentropyParetodistribution,anddevelopevenheaviertailsthanthoseofthepositive pretaxincomes.Thesefeaturespropagatefromthecrisisinitiatingsectoroftheeconomytoothersectors. Citation:GaoJ,HuJ,MaoX,ZhouM,GurbaxaniB,etal.(2011)EntropiesofNegativeIncomes,Pareto-DistributedLoss,andFinancialCrises.PLoSONE6(10): e25053.doi:10.1371/j