Related papers: Financial bubbles analysis with a cross-sectional …

The principal aim of this work is the evidence on empirical way that catastrophic bifurcation breakdowns or transitions, proceeded by flickering phenomenon, are present on notoriously significant and unpredictable financial markets.…

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 study statistical relationships between bubble walls in cosmological first-order phase transitions. We consider the conditional and joint probabilities for different points on the walls to remain uncollided at given times. We use these…

The econophysics approach to socio-economic systems is based on the assumption of their complexity. Such assumption inevitably lead to another assumption, namely that underlying interconnections within socio-economic systems, particularly…

In this paper, we investigate the problem of assessing statistical methods and effectively summarizing results from simulations. Specifically, we consider problems of the type where multiple methods are compared on a reasonably large test…

Correlations between random variables play an important role in applications, e.g.\ in financial analysis. More precisely, accurate estimates of the correlation between financial returns are crucial in portfolio management. In particular,…

Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called "dispersion strategy''.…

Bitcoin represents one of the most interesting technological breakthroughs and socio-economic experiments of the last decades. In this paper, we examine the role of speculative bubbles in the process of Bitcoin's technological adoption by…

This paper deals with asset price bubbles modeled by strict local martingales. With any strict local martingale, one can associate a new measure, which is studied in detail in the first part of the paper. In the second part, we determine…

We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure.…

We study the statistical fluctuations (such as the variance) of causal set quantities, with particular focus on the causal set action. To facilitate calculating such fluctuations, we develop tools to account for correlations between causal…

We discuss - in what is intended to be a pedagogical fashion - a criterion, which is a lower bound on a certain ratio, for when a stock (or a similar instrument) is not a good investment in the long term, which can happen even if the…

This paper introduces a new approach for bubble detection based on mixed causal and noncausal autoregressive processes and their tail process representation during an explosive episode. Departing from traditional definitions of bubbles as…

I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…

"Rational bubble", as introduced by the famous paper on money by Samuelson (1958), means speculation backed by nothing. The large subsequent rational bubble literature has identified attaching bubbles to dividend-paying assets in a natural…

We develop a set of controlled, analytic approximations to study the effects of bubble collisions on cosmology. We expand the initial perturbation to the inflaton field caused by the collision in a general power series, and determine its…

We propose a reduced form set of two coupled continuous time equations linking the price of a representative asset and the price of a bond, the later quantifying the cost of borrowing. The feedbacks between asset prices and bonds are…

The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…

We show that the empirical Christoffel function associated with a cloud of finitely many points sampled from a distribution, can provide a simple tool for supervised classification in data analysis, with good generalization properties.

We investigate density perturbations in the chain inflation scenario, where the inflaton undergoes successive tunneling transitions along one field direction. First we show that when the bubble walls associated with such a phase transition…