Related papers: Financial black swans driven by ultrafast machine …
We exploit a recent computational framework to model and detect financial crises in stock markets, as well as shock events in cryptocurrency markets, which are characterized by a sudden or severe drop in prices. Our method manages to detect…
We define a financial bubble as a period of unsustainable growth, when the price of an asset increases ever more quickly, in a series of accelerating phases of corrections and rebounds. More technically, during a bubble phase, the price…
Early warning systems (EWSs) are critical for forecasting and preventing economic and financial crises. EWSs are designed to provide early warning signs of financial troubles, allowing policymakers and market participants to intervene…
The 2008 financial crisis exposed fundamental vulnerabilities in interconnected banking systems, yet existing frameworks fail to integrate spatial propagation with network contagion mechanisms. This paper develops a unified spatial-network…
In our daily lives, we encounter numerous independent events, each occurring with varying probabilities over time. This letter delves into the scientific background behind the inhomogeneous distribution of these events over time, often…
Evidence is offered for log-periodic (in time) fluctuations in the S&P 500 stock index during the three years prior to the October 27, 1997 "correction". These fluctuations were expected on the basis of a discretely scale invariant rupture…
We study contagion and systemic risk in sparse financial networks with balance-sheet interactions on a directed random graph. Each institution has homogeneous liabilities and equity, and exposures along outgoing edges are split equally…
We analyze the dynamical response of the world's financial community to various types of unexpected events, including the 9/11 terrorist attacks as they unfolded on a minute-by-minute basis. We find that there are various 'species' of news,…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
Many natural and socio-economic systems are characterized by power-law distributions that make the occurrence of extreme events not negligible. Such events are sometimes referred to as Black Swans, but a quantitative definition of a Black…
Is the present economic and financial crisis similar to some previous one? It would be so nice to prove that universality laws exist for predicting such rare events under a minimum set of realistic hypotheses. First, I briefly recall…
In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…
Extreme events gain the attention of researchers due to their utmost importance in various contexts ranging from finance to climatology. This brings such recurrent events to the limelight of attention in interdisciplinary research. A…
Out-of-control information technology (IT) projects have ended the careers of top managers, such as EADS CEO Noel Forgeard and Levi Strauss' CIO David Bergen. Moreover, IT projects have brought down whole companies, like Kmart in the US and…
Data-driven design is a proven success factor that more and more digital businesses embrace. At the same time, academics and practitioners alike warn that when virtually everything must be tested and proven with numbers, that can stifle…
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…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…
We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We extend our previous renormalization group model of stock market prices prior to and after…
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…