Related papers: Two Fractal Overlap Time Series: Earthquakes and M…
Collisions with background gas particles can shift the resonance frequencies of atoms in atomic clocks. The internal quantum states of atoms can also become entangled with their motional states due to the recoil imparted by a collision,…
Computational earthquake sequence models provide generative estimates of the time, location, and size of synthetic seismic events that can be compared with observed earthquake histories and assessed as rupture forecasts. Here we describe a…
We define a methodology to quantify market activity on a 24 hour basis by defining a scale, the so-called scale of market quakes (SMQ). The SMQ is designed within a framework where we analyse the dynamics of excess price moves from one…
We exploit mappings between quantum and classical systems in order to obtain a class of two-dimensional classical systems with critical properties equivalent to those of the class of one-dimensional quantum systems discussed in a companion…
This review is a partial synthesis of the book ``Why stock market crash'' (Princeton University Press, January 2003), which presents a general theory of financial crashes and of stock market instabilities that his co-workers and the author…
We present an analysis of the time behavior of the $S\&P500$ (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and…
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local…
Financial markets are often modelled as if time were unique and continuous across assets and markets. Financial markets are however asynchronous, order flow is event-driven, and waiting times between events are often random. Many of the…
The apparantly irregular (unpredictable) space-time fluctuations in atmospheric flows ranging from climate (thousands of kilometers - years) to turbulence (millimeters - seconds) exhibit the universal symmetry of self-similarity.…
An empirical study of joint bivariate probability distribution of two consecutive price increments for a set of stocks at time scales ranging from one minute to thirty minutes reveals asymmetric structures with respect to the axes y=0, y=x,…
Fractals are ubiquitous in the natural world, and their connection with phase transitions has been widely observed. This study investigates mechanisms of fractal formation from the perspective of phase transitions. A novel set of…
We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is `monofractal' by construction, it shows apparent multiscaling as a…
Several authors have noticed the signature of log-periodic oscillations prior to large stock market crashes [cond-mat/9509033, cond-mat/9510036, Vandewalle et al 1998]. Unfortunately good fits of the corresponding equation to stock market…
Self-similarity may stem from two origins: the process' increments infinite variance and/or process' memory. The $b$-value of the Gutenberg-Richter law comes from the first origin. In the frame of natural time analysis of earthquake data, a…
This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily…
It is shown that teleparallel $F({\mathcal T})$ theories of gravity combined with Loop Quantum Cosmology support a Matter Bounce Scenario which is an alternative to the inflation scenario in the Big Bang paradigm. It is checked thatthese…
Temporal networks are commonly used to represent dynamical complex systems like social networks, simultaneous firing of neurons, human mobility or public transportation. Their dynamics may evolve on multiple time scales characterising for…
Modifications of the Cont-Bouchaud percolation model for price fluctuations give an asymmetry for time-reversal, an asymmetry between high and low prices, volatility clustering, effective multifractality, correlations between volatility and…
A two-dimensional earthquake model that consists of a single block resting upon a slowly moving rough surface and connected by two springs to rigid supports is studied. Depending on the elastic anisotropy and the friction force three…
Cross-sectional signatures of market panic were recently discussed on daily time scales in [1], extended here to a study of cross-sectional properties of stocks on intra-day time scales. We confirm specific intra-day patterns of dispersion…