Related papers: Financial bubbles analysis with a cross-sectional …
Motivation for this paper is to understand the impact of information on asset price bubbles and perceived arbitrage opportunities. This boils down to study optional projections of $\mathbb{G}$-adapted strict local martingales into a smaller…
We use standard perturbation techniques originally formulated in quantum (statistical) mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In particular we discuss the probability of…
The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is…
Making use of both the stochastic approach to the tunneling phenomenon and the threshold statistics, we offer a simple argument to show that critical bubbles may be correlated in first-order phase transitions and biased compared to the…
We present in this paper an empirical framework motivated by the practitioner point of view on stability. The goal is to both assess clustering validity and yield market insights by providing through the data perturbations we propose a…
This paper is the third in a series investigating the possibility that if we reside in an inflationary "bubble universe", we might observe the effects of collisions with other such bubbles. Here, we study the interior structure of a bubble…
Prices of commodities or assets produce what is called time-series. Different kinds of financial time-series have been recorded and studied for decades. Nowadays, all transactions on a financial market are recorded, leading to a huge amount…
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…
The Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with finite-time singular crash hazard rates has been developed to describe the dynamics of financial bubbles and crashes. It has been applied successfully to a large…
A deterministic trading strategy by a representative investor on a single market asset, which generates complex and realistic returns with its first four moments similar to the empirical values of European stock indices, is used to simulate…
We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a…
Atoms and molecules are important conceptual entities we invented to understand the physical world around us. The key to their usefulness lies in the organization of nuclear and electronic degrees of freedom into a single dynamical variable…
This describes a statistical technique called "tonsuring" for exploratory data analysis in finance. Instead of rejecting "outlier" data that conflicts with the model, this strips out "inlier" data to get a clearer picture of how the market…
The information flow-based quantitative causality analysis has been widely applied in different disciplines because of its origin from first principles, its concise form, and its computational efficiency. So far the algorithm for its…
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment…
The economical world consists of a highly interconnected and interdependent network of firms. Here we develop temporal and structural network tools to analyze the state of the economy. Our analysis indicates that a strong clustering can be…
Forward-looking correlations are of interest in different financial applications, including factor-based asset pricing, forecasting stock-price movements or pricing index options. With a focus on non-FX markets, this paper defines necessary…
Financial networks can be constructed using statistical dependencies found within the price series of speculative assets. Across the various methods used to infer these networks, there is a general reliance on predictive modelling to…
In the past few decades considerable effort has been expended in characterizing and modeling financial time series. A number of stylized facts have been identified, and volatility clustering or the tendency toward persistence has emerged as…
Speculative optimisation relies on the estimation of the probabilities that certain properties of the control flow are fulfilled. Concrete or estimated branch probabilities can be used for searching and constructing advantageous speculative…