Related papers: Aftershock prediction for high-frequency financial…

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…

This review is a partial synthesis of the book ``Why stock market crash'' (Princeton University Press, January 2003), which presents a general theory of financial crashes and of stock market instabilities that his co-workers and the author…

The analysis of the classical and mirror triads of the sequence of earthquakes has been carried out in order to find the equations of evolution of foreshocks and aftershocks. The differential equation with cubic (quadratic) nonlinearity has…

The decay pattern of aftershocks in the so-called 'coherent-noise' models [M. E. J. Newman and K. Sneppen, Phys. Rev. E54, 6226 (1996)] is studied in detail. Analytical and numerical results show that the probability to find a large event…

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…

Whether aftershocks originate directly from the mainshock and surrounding stress environment or from afterslip dynamics is crucial to the understanding of the nature of aftershocks. We build on a classical description of the fault and…

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…

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…

We present an analysis of the time behavior of the $S\&P500$ (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and…

The aftershocks of the Tohoku earthquake are analyzed in light of the phenomenological theory of aftershocks. The theory is based on the concept of an earthquake source as a dynamic system, the state of which is described by a deactivation…

We propose a picture of stock market crashes as critical points in a hierachical system with discrete scaling. The critical exponent is then complex, leading to log-periodic fluctuations in stock market indexes. We present ``experimental''…

The decay rate of aftershocks has been modeled as a power law since the pioneering work of Omori in the late nineteenth century. Considered the second most fundamental empirical law after the Gutenberg-Richter relationship, the power law…

We analyze 21 aftershock sequences of California to test for evidence of space-time diffusion. Aftershock diffusion may result from stress diffusion and is also predicted by any mechanism of stress weakening. Here, we test an alternative…

Catastrophes of all kinds can be roughly defined as short duration-large amplitude events following and followed by long periods of "ripening". Major earthquakes surely belong to the class of 'catastrophic' events. Because of the space-time…

Recently, the physics of aftershocks has been enriched by three new problems. We will conditionally call them dynamic, inverse, and morphological problems. Dynamic problem is to search for the cumulative effect of a round-the-world seismic…

We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…

Throughout history, many countries have repeatedly experienced large swings in asset prices, which are usually accompanied by large fluctuations in macroeconomic activity. One of the characteristics of the period before major economic…

A modified Carlson-Langer model for earthquakes is proposed, which includes nonlinear visco-elasticity. Several aftershocks are generated after the main shock owing to the damping of the additional visco-elastic force. Both the…

Aftershock sequences are of particular interest in seismic research since they may condition seismic activity in a given region over long time spans. While they are typically identified with periods of enhanced seismic activity after a…

Predicting panic is of critical importance in many areas of human and animal behavior, notably in the context of economics. The recent financial crisis is a case in point. Panic may be due to a specific external threat, or self-generated…