How one might miss early warning signals of critical transitions in time series data: A systematic study of two major currency pairs.

ABSTRACT: There is growing interest in the use of critical slowing down and critical fluctuations as early warning signals for critical transitions in different complex systems. However, while some studies found them effective, others found the opposite. In this paper, we investigated why this might be so, by testing three commonly used indicators: lag-1 autocorrelation, variance, and low-frequency power spectrum at anticipating critical transitions in the very-high-frequency time series data of the Australian Dollar-Japanese Yen and Swiss Franc-Japanese Yen exchange rates. Besides testing rising trends in these indicators at a strict level of confidence using the Kendall-tau test, we also required statistically significant early warning signals to be concurrent in the three indicators, which must r

SUBMITTER: Wen H 

PROVIDER: S-EPMC5851542 | biostudies-literature | 2018

REPOSITORIES: biostudies-literature