Related papers: Quantitative law describing market dynamics before…
The aftershocks of the Tohoku earthquake are analyzed in light of the phenomenological theory of aftershocks. The theory is based on the concept of an earthquake source as a dynamic system, the state of which is described by a deactivation…
Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law…
In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility…
We study in this paper the time evolution of stock markets using a statistical physics approach. Each agent is represented by a spin having a number of discrete states $q$ or continuous states, describing the tendency of the agent for…
We analyse four consecutive cycles observed in the USA for employment and inflation. They are driven by three oil price shocks and an intended interest rate shock. Non-linear coupling between the rate equations for consumer products as prey…
Central Banks interventions are frequent in response to exogenous events with direct implications on financial market volatility. In this paper, we introduce the Asymmetric Jump Multiplicative Error Model (AJM), which accounts for a…
This paper examines the impact of US monetary policy tightening on emerging markets, distinguishing between direct and indirect spillover effects using the global vector autoregression with stochastic volatility covering 32 countries. The…
It is useful to consider the earthquakes in terms of catastrophe theory. In the paper, we illustrate this statement by analysis foreshocks preceding the strong earthquakes. We focused on the so-called catastrophe flags, and on the triggers…
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…
This paper examines the monetary policies the Federal Reserve implemented in response to the Global Financial Crisis. More specifically, it analyzes the Federal Reserve's quantitative easing (QE) programs, liquidity facilities, and forward…
We provide precise conditions for nonparametric identification of causal effects by high-frequency event study regressions, which have been used widely in the recent macroeconomics, financial economics and political economy literatures. The…
Through a novel approach, this paper shows that substantial change in stock market behavior has a statistically and economically significant impact on equity risk premium predictability both on in-sample and out-of-sample cases. In line…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
We study the humanitarian response to the destruction brought by the tsunami generated by the Sumatra earthquake of December 26, 2004, as measured by donations, and find that it decays in time as a power law ~ 1/t^(alpha) with alpha=2.5 +/-…
This paper examines how trade policy uncertainty influences the correlation between U.S. stock indices and short-term government bonds. The objective is to assess whether policy-related shocks, especially those linked to trade tensions,…
Aftershock occurrence is characterized by scaling behaviors with quite universal exponents. At the same time, deviations from universality have been proposed as a tool to discriminate aftershocks from foreshocks. Here we show that the…
Macroeconomic variables are known to significantly impact equity markets, but their predictive power for price fluctuations has been underexplored due to challenges such as infrequency and variability in timing of announcements, changing…
We propose a novel method for analyzing precursory seismic data before an earthquake that treats them as a Markov process and distinguishes the background noise from real fluctuations due to an earthquake. A short time (on the order of…
Earthquake phenomenology exhibits a number of power law distributions including the Gutenberg-Richter frequency-size statistics and the Omori law for aftershock decay rates. In search for a basic model that renders correct predictions on…
Aftershocks of aftershocks - and their aftershock cascades - substantially contribute to the increased seismicity rate and the associated elevated seismic hazard after the occurrence of a large earthquake. Current state-of-the-art…