Related papers: Financial black swans driven by ultrafast machine …
We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is power-law with a decay exponent close to -1.15 at short…
We build an agent-based model to study how the interplay between low- and high-frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash…
Following the thermodynamic formulation of multifractal measure that was shown to be capable of detecting large fluctuations at an early stage, here we propose a new index which permits us to distinguish events like financial crisis in real…
In this empirical paper we show that in the months following a crash there is a distinct connection between the fall of stock prices and the increase in the range of interest rates for a sample of bonds. This variable, which is often…
Despite the wide use of networks as a versatile tool for exploring complex social systems, little is known about how to detect and forecast abrupt changes in social systems. In this report, we develop an early warning approach based on…
Uncertain, unpredictable, real time, and lifelong evolution causes operational failures in intelligent software systems, leading to significant damages, safety and security hazards, and tragedies. To fully unleash the potential of such…
Complex systems are usually non-stationary and their dynamics is often dominated by collective effects. Collectivity, defined as coherent motion of the whole system or of some of its parts, manifests itself in the time-dependent structures…
Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination…
Critical transitions, ubiquitous in nature and technology, necessitate anticipation to avert adverse outcomes. While many studies focus on bifurcation-induced tipping, where a control parameter change leads to destabilization, alternative…
Modern software systems rely on dependency networks of reusable libraries, where breaking changes propagate and cause downstream consumers to fail. Despite growing research across ecosystems, no comprehensive synthesis exists. We conduct a…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
Systems that comprise many interacting dynamical networks, such as the human body with its biological networks or the global economic network consisting of regional clusters, often exhibit complicated collective dynamics. To understand the…
Trust lies at the crux of most economic transactions, with credit markets being a notable example. Drawing on insights from the literature on coordination games and network growth, we develop a simple model to clarify how trust breaks down…
The two phase behavior in financial markets actually means the bifurcation phenomenon, which represents the change of the conditional probability from an unimodal to a bimodal distribution. In this paper, the bifurcation phenomenon in…
The global crisis of 2008 provoked a heightened interest among scientists to study the phenomenon, its propagation and negative consequences. The process of modelling the spread of a virus is commonly used in epidemiology. Conceptually, the…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…
Since the beginning of the new millennium, stock markets went through every state from long-time troughs, trade suspensions to all-time highs. The literature on asset pricing hence assumes random processes to be underlying the movement of…
We develop the concept of ``dragon-kings'' corresponding to meaningful outliers, which are found to coexist with power laws in the distributions of event sizes under a broad range of conditions in a large variety of systems. These…
Online social networks are increasingly being utilized for collective sense making and information processing in disasters. However, the underlying mechanisms that shape the dynamics of collective intelligence in online social networks…
The financial market is a complex dynamical system composed of a large variety of intricate relationships between several entities, such as banks, corporations and institutions. At the heart of the system lies the stock exchange mechanism,…