Related papers: Quantitative law describing market dynamics before…
Based on empirical financial time-series, we show that the "silence-breaking" probability follows a super-universal power law: the probability of observing a large movement is inversely proportional to the length of the on-going…
We evaluated the efficiency of various models in describing the time decay of aftershock rate of 47 simple sequences occurred in California (37) from 1933 to 2004 and in Italy (10) from 1976 to 2004. We compared the models by the corrected…
The power law of aftershock evolution was proposed by Hirano in 1924 and introduced by Utsu into seismology in the second half of the last century. The Hirano-Utsu law is widely used in studying the relaxation of earthquake source after the…
Corporate earnings announcements unpack large bundles of public information that should, in efficient markets, trigger jumps in stock prices. Testing this implication is difficult in practice, as it requires noisy high-frequency data from…
In foreign exchange markets monotonic rate changes can be observed in time scale of order of an hour on the days that governmental interventions took place. We estimate the starting time of an intervention using this characteristic behavior…
Monetary policy pronouncements by Federal Open Market Committee (FOMC) are a major driver of financial market returns. We construct the largest tokenized and annotated dataset of FOMC speeches, meeting minutes, and press conference…
One hundred years ago, Fusakichi Omori died. Our paper is dedicated to his memory. Omori made an outstanding contribution to the physics of earthquakes. In 1894 he formulated the law of aftershock evolution. Omori's Law states that after…
130 years ago, Omori formulated the first law of earthquake physics. The essence of the law is that the frequency of aftershocks decreases hyperbolically over time. 100 years ago, Hirano doubted the universality of Omori law and proposed a…
This paper examines the effect of macroeconomic news announcements (MNA) on the stock market. Stocks exhibit a strong positive response to major MNA: 1 standard deviation of MNA surprise causes 11-25 bps higher returns. This response is…
A modified Carlson-Langer model for earthquakes is proposed, which includes nonlinear visco-elasticity. Several aftershocks are generated after the main shock owing to the damping of the additional visco-elastic force. Both the…
This study employs an event study methodology to investigate the market impact of the U.S. Securities and Exchange Commission's (SEC) classification of crypto assets as securities. It explores how SEC interventions influence asset returns…
We study analytically and by numerical simulations the statistics of the aftershocks generated after large avalanches in models of interface depinning that include viscoelastic relaxation effects. We find in all the analyzed cases that the…
We study precursors to the global market crash that occurred on all main stock exchanges throughout the world in October 2008 about three weeks after the bankruptcy of Lehman Brothers Holdings Inc. on 15 September. We examine the collective…
Recently, simple differential models of aftershocks have attracted increased attention of researchers at the Institute of Physics of the Earth, Russian Academy of Sciences for their remarkable properties. The shortened Bernoulli equation…
We present compelling empirical evidence for a new interpretation of the Forward Rate Curve (FRC) term structure. We find that the average FRC follows a square-root law, with a prefactor related to the spot volatility, suggesting a…
The epidemic-type aftershock sequence model (ETAS) is a simple stochastic process modeling seismicity, based on the two best-established empirical laws, the Omori law (power law decay ~1/t^{1+\theta} of seismicity after an earthquake) and…
We define a financial bubble as a period of unsustainable growth, when the price of an asset increases ever more quickly, in a series of accelerating phases of corrections and rebounds. More technically, during a bubble phase, the price…
We study the statistical properties of recurrence times in the self-excited Hawkes conditional Poisson process, the simplest extension of the Poisson process that takes into account how the past events influence the occurrence of future…
This paper assesses the link between central bank's policy rate, inflation rate and output gap through Taylor rule equation in both United States and United Kingdom from 1990 to 2020. Also, it analyses the relationship between monetary…
The paper is devoted to comparing two approaches to the study of aftershocks. The methodological foundations of the traditional approach were laid many years ago. A new approach has emerged relatively recently. The two approaches differ…