What We Learn about Global Systemic Risk with Neurosciences

23 Pages Posted: 2 Sep 2013 Last revised: 13 Nov 2013

See all articles by Armando da Rocha

Armando da Rocha

Research on Artificial and Natural Intelligence (RANI)

Date Written: August 27, 2013

Abstract

Financial market crises are frequent events that trigger large financial losses and represent an important global systemic risk (GSR). GSR forecasting is, therefore, a necessity to avoid the collapse of the global financial market. Understanding GSR dynamics is imperative if it is to be forecasted and controlled. Traditional finance theories have developed many tools for risk management that proved to be unreliable in the case of the 2008 Crisis. Recent results on financial decision-making provided by Neurosciences have being used to model the stock market dynamics. This approach is used, here, to model stock price evolution in 20 bourses during the period between January, 3, 2007 and September, 9, 2011. Present results show, by the one side that the market humor, calculated as a function of the conflict associated with the stock benefit and risk evaluations and with the stock volatility, provides an adequate measure of a systematic global systemic risk, and by the other side that humor threshold variation reflect unsystematic global systemic risks.

Keywords: Financial Crisis, Global Systemic Risk, Neurosciences, Finances, Neurofinances, Market Humor

Suggested Citation

da Rocha, Armando, What We Learn about Global Systemic Risk with Neurosciences (August 27, 2013). Available at SSRN: https://ssrn.com/abstract=2316765 or http://dx.doi.org/10.2139/ssrn.2316765

Armando Da Rocha (Contact Author)

Research on Artificial and Natural Intelligence (RANI) ( email )

Rua Tenente Ary Aps, 172
Jundiai, 13207-110
Brazil

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