Related papers: Multifractal analysis and instability index of pri…
We study the instability of the spectrum for a class of non-selfadjoint anharmonic oscillators, estimating the behavior of the instability indices (i. e. the norm of spectral projections) associated with the large eigenvalues of these…
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…
This paper introduces a novel approach to financial crisis prediction by establishing a thermodynamic-like framework derived from the fluctuation theorem of statistical physics. We define market temperature through the probability ratio of…
Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P500, and NASDAQ) to check whether the indexes (instead of…
This study evaluates the scale-dependent informational efficiency of stock markets using the Financial Chaos Index, a tensor-eigenvalue-based measure of realized volatility. Incorporating Granger causality and network-theoretic analysis…
Financial markets are well known for their dramatic dynamics and consequences that affect much of the world's population. Consequently, much research has aimed at understanding, identifying and forecasting crashes and rebounds in financial…
Financial crises emerge when structural vulnerabilities accumulate across sectors, markets, and investor behavior. Predicting these systemic transitions is challenging because they arise from evolving interactions between market…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
We apply the concepts of multifractal physics to financial time series in order to characterize the onset of crash for the Standard & Poor's 500 stock index x(t). It is found that within the framework of multifractality, the "analogous"…
Studying the micro-trading behaviors before stock price jumps is an important problem for financial regulations and investment decisions. In this study, we provide a new framework to study pre-jump trading behaviors based on multivariate…
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…
Several authors have noticed the signature of log-periodic oscillations prior to large stock market crashes [cond-mat/9509033, cond-mat/9510036, Vandewalle et al 1998]. Unfortunately good fits of the corresponding equation to stock market…
We pose the estimation and predictability of stock market performance. Three cases are taken: US, Japan, Germany, the monthly index of the value of realized investment in stocks, prices plus the value of dividend payments (OECD data). Once…
The multifractal structure of the temporal dependence of the Deutsche Aktienindex (DAX) is analyzed. The $q$-th order moments of the structure functions and the singular measures are calculated. The generalized Hurst exponent $H(q)$ and the…
Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking…
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…
We propose a non linear Langevin equation as a model for stock market fluctuations and crashes. This equation is based on an identification of the different processes influencing the demand and supply, and their mathematical transcription.…
In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about…
This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily…
The model describing market dynamics after a large financial crash is considered in terms of the stochastic differential equation of Ito. Physically, the model presents an overdamped Brownian particle moving in the nonstationary…