Related papers: Multifractal analysis and instability index of pri…
I construct a Market Stress Probability Index (MSPI) that estimates the probability of high stress in the U.S. equity market one month ahead using information from the cross-section of individual stocks. Using CRSP daily data, each month is…
We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is…
This paper investigates the common intuition suggesting that during crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges the analysis of the nature of financial…
We introduce a mathematical model on the dynamics of demand and supply incorporating collectability and saturation factors. Our analysis shows that when the fluctuation of the determinants of demand and supply is strong enough, there is…
This work considers a stochastic model in which the uncertainty is driven by a multidimensional Brownian motion. The market price of risk process makes the transition between real world probability measure and risk neutral probability…
We study multifractal properties of wave functions for a one-parameter family of quantum maps displaying the whole range of spectral statistics intermediate between integrable and chaotic statistics. We perform extensive numerical…
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market.…
This paper provides robust, new evidence on the causal drivers of market troughs. We demonstrate that conclusions about these triggers are critically sensitive to model specification, moving beyond restrictive linear models with a flexible…
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…
We present a comprehensive analytical linear stability analysis of the Toner-Tu model for polar active fluids in the ordered phase. Our results provide exact instability criteria and demonstrate that all generic hydrodynamic instabilities…
We propose a new procedure to monitor and forecast the onset of transitions in high dimensional complex systems. We describe our procedure by an application to the Tangled Nature model of evolutionary ecology. The quasi-stable…
Measuring systemic risk or fragility of financial systems is a ubiquitous task of fundamental importance in analyzing market efficiency, portfolio allocation, and containment of financial contagions. Recent attempts have shown that…
We present a one-dimensional numerical model based on elastically coupled sliders on a frictional incline of variable tilt. This very simple approach makes possible to study the precursors to the avalanche and to provide a rationalization…
The imbalance of buying and selling functions profoundly in the formation of market trends, however, a fine-granularity investigation of the imbalance is still missing. This paper investigates a unique transaction dataset that enables us to…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
Financial news is essential for accurate market prediction, but evolving narratives across macroeconomic regimes introduce semantic and causal drift that weaken model reliability. We present an evaluation framework to quantify robustness in…
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the…
Recent studies highlight economic complexity's role in mitigating fiscal crises, often measured via an economy's trade structure. Trade, however, is just one facet of an economy's structure and omits critical innovative activities like…
We review application of level dynamics to spectra of quantally chaotic systems. We show that statistical mechanics approach gives us predictions about level statistics intermediate between integrable and chaotic dynamics. Then we discuss…
The Chinese stock market experienced an abrupt crash in 2015, and over one-third of its market value evaporated. Given its associations with fear and the fine resolution with respect to frequency, the illiquidity of stocks may offer a…