A Mothed To Predict Financial Crisis Based On Divergence Of Higher Moments

The prediction of financial crisis is a hot issues of the modern financial mathematics, This paper first build a model based on real market, with a birth and death process, simulation and predict the financial crisis, the model can not only simulate the steady period of low volatility and slow growth, but also can simulate the turbulent financial crisis process, with the fat-tailed distribution characteristics in the steady period and consistent with the high moments diverge characteristics in the crisis period． factors that distinguish between the two cases of the process is credit.Compare the simulation results with the real price index, in the market, observe that the divergence of the higher moments the key to predict and judge a financial crisis, bring a way to predict and judge a financial crisis based on divergence of the higher moments, and test the method to both simulation results and real price index to prove its effectiveness.Discuss the formation of the financial crisis, internal and external, discussed strategies to deal with the financial crisis from a form of the policy. Give a view that because of the number of financial institutions lending more than a certain amount, and loan interest is often higher than the amount of economic growth, which will make loans not able to repay the loan, which lead to the financial crisis. And also bring the view that the banking sector minish the differentials between lending and deposit interest rate can reduce the financial crisis under certain circumstances. Finally, discussed the lacking and shortcoming of the models and raised the possibility for further described in more complex models corresponding to the equation. And further research and future problems need to be researched.