Related papers: Multifractal analysis and instability index of pri…
We proposed a market simulation model (micro model) which displays multifractality and reproduces many important stylized facts of speculative markets. From this model we analytically extracted the MMAR model (Multifractal Model of Asset…
In this paper, we present a method of estimating the volatility of a signal that displays stochastic noise (such as a risky asset traded on an open market) utilizing Linear Predictive Coding. The main purpose is to associate volatility with…
The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive…
Accurately predicting stock returns is crucial for effective portfolio management. However, existing methods often overlook a fundamental issue in the market, namely, distribution shifts, making them less practical for predicting future…
A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our…
We investigate the breakdown of disordered networks under the action of an increasing external---mechanical or electrical---force. We perform a mean-field analysis and estimate scaling exponents for the approach to the instability. By…
The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…
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 a rational expectation model of bubbles and crashes. The model has two components : (1) our key assumption is that a crash may be caused by local self-reinforcing imitation between noise traders. If the tendency for noise traders…
Catastrophes of all kinds can be roughly defined as short duration-large amplitude events following and followed by long periods of "ripening". Major earthquakes surely belong to the class of 'catastrophic' events. Because of the space-time…
We present a comparative analysis of multifractal properties of financial time series built on stock indices from developing (WIG) and developed (S&P500) financial markets. It is shown how the multifractal image of the market is altered…
In this work, we study the problem of learning the volatility under market microstructure noise. Specifically, we consider noisy discrete time observations from a stochastic differential equation and develop a novel computational method to…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
Stock price movement prediction is commonly accepted as a very challenging task due to the volatile nature of financial markets. Previous works typically predict the stock price mainly based on its own information, neglecting the cross…
A major source of information can be taken from financial news articles, which have some correlations about the fluctuation of stock trends. In this paper, we investigate the influences of financial news on the stock trends, from a…
A major impact of globalization has been the information flow across the financial markets rendering them vulnerable to financial contagion. Research has focused on network analysis techniques to understand the extent and nature of such…
The study of the critical dynamics in complex systems is always interesting yet challenging. Here, we choose financial market as an example of a complex system, and do a comparative analyses of two stock markets - the S&P 500 (USA) and…
A generic saddle-node bifurcation is proposed to modelize fast transitions of finite amplitude arising in geophysical (and perhaps other) contexts, when they result from the intrinsic dynamics of the system. The fast transition is…