Related papers: The Chinese Equity Bubble: Ready to Burst
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…
In this paper we use Clustering Method to understand whether stock market volatility can be predicted at all, and if so, when it can be predicted. The exercise has been performed for the Indian stock market on daily data for two years. For…
Since 2002 when China first introduced QFII (Qualified Foreign Institutional Investors) system, QFII has been developing in China for 14 years, during when RQFII, Shanghai-Hongkong Stock Connect Program, Shanghai-London Stock Connect…
We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We extend our previous renormalization group model of stock market prices prior to and after…
A TGARCH modeling is argued to be the optimal basis for investigating the impact of index futures trading on spot price variability. We discuss the CSI-300 index (China-Shanghai-Shenzhen-300-Stock Index) as a test case. The results prove…
Taylor's law of temporal fluctuation scaling, variance $\sim$ $a($mean$)^b$, is ubiquitous in natural and social sciences. We report for the first time convincing evidence of a solid temporal fluctuation scaling law in stock illiquidity by…
On 2 November 2009, the Financial Bubble Experiment was launched within the Financial Crisis Observatory (FCO) at ETH Zurich (\url{http://www.er.ethz.ch/fco/}). In that initial report, we diagnosed and announced three bubbles on three…
Based on the commentary data of the Shenzhen Stock Index bar on the EastMoney website from January 1, 2018 to December 31, 2019. This paper extracts the embedded investor sentiment by using a deep learning BERT model and investigates the…
The extremes of a stationary time series typically occur in clusters. A primary measure for this phenomenon is the extremal index, representing the reciprocal of the expected cluster size. Both a disjoint and a sliding blocks estimator for…
Historically, the economic recession often came abruptly and disastrously. For instance, during the 2008 financial crisis, the SP 500 fell 46 percent from October 2007 to March 2009. If we could detect the signals of the crisis earlier, we…
The crowd panic and its contagion play non-negligible roles at the time of the stock crash, especially for China where inexperienced investors dominate the market. However, existing models rarely consider investors in networking stocks and…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…
The stock segment of China's time-honored brand enterprises has an important position in our securities stock market. The holiday effect is one of the market anomalies that occur in the securities market, which refers to the phenomenon that…
We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late…
We exploit a recent computational framework to model and detect financial crises in stock markets, as well as shock events in cryptocurrency markets, which are characterized by a sudden or severe drop in prices. Our method manages to detect…
The recent surge in valuations among AI related firms has renewed concerns that markets may be entering a new phase of speculative exuberance, especially in the technology and semiconductor sectors at the center of the AI investment wave.…
Market impact has become a subject of increasing concern among academics and industry experts. We put forward a price impact model which considers the heteroscedasticity of price in the time dimension and dependency between permanent impact…
A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or 'crashes', contain parameters that are confined within certain ranges. The mechanism that has been claimed…
A bundle of many fibers with stochastically distributed breaking thresholds is considered as a model of composite materials. The fibers are assumed to share the load equally, and to obey Hookean elasticity up to the breaking point. The…
Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The…