Related papers: Aftershock prediction for high-frequency financial…
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive…
In this work the distribution of inter-occurrence times between earthquakes in aftershock sequences is analyzed and a model based on a non-homogeneous Poisson (NHP) process is proposed to quantify the observed scaling. In this model the…
The statistical properties of earthquake aftershocks are studied. The scaling relation for the exponents of the Omori law and the power-law calm time distribution (i.e., the interoccurrence time distribution), which is valid if a sequence…
In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…
According to the Omori-Utsu law, the rate of aftershocks after a mainshock decays as a power law with an exponent close to 1. This well-established law was intensively used in the past to study and model the statistical properties of…
This chapter first presents a rather personal view of some different aspects of predictability, going in crescendo from simple linear systems to high-dimensional nonlinear systems with stochastic forcing, which exhibit emergent properties…
Many complex systems exhibit extreme events far more often than expected for a normal distribution. This work examines how self-similar bursts of activity across several orders of magnitude can emerge from first principles in systems that…
Scaling analysis reveals striking regularities in earthquake occurrence. The time between any one earthquake and that following it is random, but it is described by the same universal-probability distribution for any spatial region and…
With the rise of computing and artificial intelligence, advanced modeling and forecasting has been applied to High Frequency markets. A crucial element of solid production modeling though relies on the investigation of data distributions…
We propose that catastrophic events are "outliers" with statistically different properties than the rest of the population and result from mechanisms involving amplifying critical cascades. Applications and the potential for prediction are…
During any unique crisis, panic sell-off leads to a massive stock market crash that may continue for more than a day, termed as mainshock. The effect of a mainshock in the form of aftershocks can be felt throughout the recovery phase of…
This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily…
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive…
We propose a set of dependence measures that are non-linear, local, invariant to a wide range of transformations on the marginals, can show tail and risk asymmetries, are always well-defined, are easy to estimate and can be used on any…
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…
Statistical properties of earthquakes are studied both by the analysis of real earthquake catalog of Japan and by numerical computer simulations of the spring-block model in both one and two dimensions. Particular attention is paid to the…
Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audience. Systemic risk and propagation of shocks in financial…
The earthquake source after the main shock can theoretically be represented as a black box without an entrance. At the output, there is a signal in the form of aftershocks, the frequency of which decreases on average with time according to…