Related papers: Aftershock prediction for high-frequency financial…
In many important systems exhibiting crackling noise --- intermittent avalanche-like relaxation response with power-law and, thus, self-similar distributed event sizes --- the "laws" for the rate of activity after large events are not…
Aftershock occurrence is characterized by scaling behaviors with quite universal exponents. At the same time, deviations from universality have been proposed as a tool to discriminate aftershocks from foreshocks. Here we show that the…
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gather data from indices of a variety of…
The paper is based on the report read by the author on October 24, 2018 at the meeting of the Scientific Council of the Institute of Earth Physics of the Russian Academy of Sciences. The report was dedicated to the 150th anniversary of the…
The dynamical behavior of the currency exchange rate after its large-scale catastrophe is discussed through a case study of the rate of Russian rubles to US dollars after its crash in 2014. It is shown that, similarly to the case of the…
The phenomenon of aftershocks is studied in view of science of complexity. In particular, three different concepts are examined: (i) the complex-network representation of seismicity, (ii) the event-event correlations, and (iii) the effects…
We propose a new metric to quantify the correlation between any two earthquakes. The metric consists of a product involving the time interval and spatial distance between two events, as well as the magnitude of the first one. According to…
Observations indicate that the distributions of stock returns in financial markets usually do not conform to normal distributions, but rather exhibit characteristics of high peaks, fat tails and biases. In this work, we assume that the…
Mainshocks are often followed by increased earthquake activity (aftershocks). According to the Omori-Utsu law, the rate of aftershocks decays as a power law over time. While aftershocks typically occur in the vicinity of the mainshock,…
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…
Catastrophic events, though rare, do occur and when they occur, they have devastating effects. It is, therefore, of utmost importance to understand the complexity of the underlying dynamics and signatures of catastrophic events, such as…
The principal aim of this work is the evidence on empirical way that catastrophic bifurcation breakdowns or transitions, proceeded by flickering phenomenon, are present on notoriously significant and unpredictable financial markets.…
Volatility asymmetry is a hot topic in high-frequency financial market. In this paper, we propose a new econometric model, which could describe volatility asymmetry based on high-frequency historical data and low-frequency historical data.…
The Omori-Utsu law shows the temporal power-law-like decrease of the frequency of earthquake aftershocks and, interestingly, is found in a variety of complex systems/phenomena exhibiting catastrophes. Now, it may be interpreted as a…
A brief historical perspective is first given concerning financial crashes, - from the 17th till the 20th century. In modern times, it seems that log periodic oscillations are found before crashes in several financial indices. The same is…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
Extreme events, such as rogue waves, earthquakes and stock market crashes, occur spontaneously in many dynamical systems. Because of their usually adverse consequences, quantification, prediction and mitigation of extreme events are highly…
The decay rate of aftershocks is commonly very well described by the modified Omori law, $n(t) \propto t^{-p}$, where n(t) is the number of aftershocks per unit time, t is the time after the main shock, and p is a constant in the range…
Analysis of the Sumatra-Andaman earthquake on 26.12.2004 (M = 9) has allowed us to identify two non- trivial properties of the dynamics of aftershocks. First, the strongest aftershock (M = 7.2) was likely triggered by the round-the-world…