Related papers: Predicting economic market crises using measures o…

Uncertainty defines our age: it shapes climate, finance, technology, and society, yet remains profoundly misunderstood. We oscillate between the illusion of control and the paralysis of fatalism. This paper reframes uncertainty not as…

Research on infodemics, i.e., the rapid spread of (mis)information related to a hazardous event, such as the COVID-19 pandemic, requires the integration of a multiplicity of scientific disciplines. The dynamics emerging from infodemics have…

The growing instability of both global and domestic economic environments has increased the risk of financial distress at the household level. However, traditional econometric models often rely on delayed and aggregated data, limiting their…

In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…

Corporate insolvency can have a devastating effect on the economy. With an increasing number of companies making expansion overseas to capitalize on foreign resources, a multinational corporate bankruptcy can disrupt the world's financial…

The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain…

A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social…

This article proposes a complementary theoretical framework in behavioural finance by interpreting financial markets during boom-and-bust episodes as a Le Bonian crowd. While behavioural finance has documented the limits of individual…

Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…

Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…

Motivated by the hypothesis that financial crashes are macroscopic examples of critical phenomena associated with a discrete scaling symmetry, we reconsider the evidence of log-periodic precursors to financial crashes and test the…

We live in a computerized and networked society where many of our actions leave a digital trace and affect other people's actions. This has lead to the emergence of a new data-driven research field: mathematical methods of computer science,…

The COVID-19 pandemic has generated disruptive changes in many fields. Here we focus on the relationship between the anxiety felt by people during the pandemic and the trust in the future performance of financial markets. Precisely, we move…

We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically, our theoretical model allows for firm-specific impacts of…

We critically review recent claims that financial crashes can be predicted using the idea of log-periodic oscillations or by other methods inspired by the physics of critical phenomena. In particular, the October 1997 `correction' does not…

Our study shows that many firms would accumulate at zero output level (namely, Bankruptcy status) if a perfectly competitive market reaches full employment (namely, those people who should obtain employment have obtained employment). As a…

Prediction markets are widely treated as forecasting devices that reveal collective expectations about uncertain futures. This article argues that under specifiable conditions they also function as coordination mechanisms: public…

In this article we model chaotic dynamics in financial markets by treating the market price, and market makers' inventory, as anharmonic oscillators with a nonlinear coupling. The market makers' risk appetite being the key parameter that…

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…

The self-similar analysis of time series, suggested earlier by the authors, is applied to the description of market crises. The main attention is payed to the October 1929, 1987 and 1997 stock market crises, which can be successfully…