Related papers: Note on two phase phenomena in financial markets
The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been…
Bifurcations mark qualitative changes of long-term behavior in dynamical systems and can often signal sudden ("hard") transitions or catastrophic events (divergences). Accurately locating them is critical not just for deeper understanding…
To explain the phenomenon of bifurcation delay, which occurs in planar systems of the form $\dot{x}=\epsilon f(x,z,\epsilon)$, $\dot{z}=g(x,z,\epsilon)z$, where $f(x,0,0)>0$ and $g(x,0,0)$ changes sign at least once on the $x$-axis, we use…
Positive feedback trading, which buys when prices rise and sells when prices fall, has long been criticized for being destabilizing as it moves prices away from the fundamentals. Motivated by the relationship between positive feedback…
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The default probabilities of the G-SIBs are correlated through…
Information is a key component in determining the price of an asset in financial markets, and the main objective of this paper is to study the spread of information in this context. The network of interactions in financial markets is…
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each…
Based on our "finance-prediction-oriented" methodology which involves such elements as log-periodic self-similarity, the universal preferred scaling factor lambda=2, and allows a phenomenon of the "super-bubble" we analyze the 2009 world…
This paper analyses the high-frequency intraday Bitcoin dataset from 2019 to 2022. During this time frame, the Bitcoin market index exhibited two distinct periods, 2019-20 and 2021-22, characterized by an abrupt change in volatility. The…
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
We provide further evidence that markets trend on the medium term (months) and mean-revert on the long term (several years). Our results bolster Black's intuition that prices tend to be off roughly by a factor of 2, and take years to…
Hyperchaos is distinguished from chaos by the presence of at least two positive Lyapunov exponents instead of just one in dynamical systems. A general scenario is presented here that shows emergence of hyperchaos with a sudden large…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social…
Several models of stock trading [P. Bak et al, Physica A {\bf 246}, 430 (1997)] are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the…
Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…
The prediction of a binary sequence is a classic example of online machine learning. We like to call it the 'stock prediction problem,' viewing the sequence as the price history of a stock that goes up or down one unit at each time step. In…
In this dissertation two simple models of stock exchange are developed and simulated numerically. The first is characterized by centralized trading with a market maker. Unfortunately, this model is unable to generate realistic market…
In this paper we introduce a new bifurcation in Hamiltonian systems, which we call the double flip bifurcation. The Hamiltonian depends on two parameters, one of which controls the double flip bifurcation. The result of the bifurcation is…