Related papers: Aftershock prediction for high-frequency financial…
Recently, simple differential models of aftershocks have attracted increased attention of researchers at the Institute of Physics of the Earth, Russian Academy of Sciences for their remarkable properties. The shortened Bernoulli equation…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes…
We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times…
In order to emphasize cross-correlations for fluctuations in major market places, series of up and down spins are built from financial data. Patterns frequencies are measured, and statistical tests performed. Strong cross-correlations are…
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…
We estimate the rate of aftershocks triggered by a heterogeneous stress change, using the rate-and-state model of Dieterich [1994].We show that an exponential stress distribution Pt(au) ~exp(-tautau_0) gives an Omori law decay of…
In an earthquake event, the combination of a strong mainshock and damaging aftershocks is often the cause of severe structural damages and/or high death tolls. The objective of this paper is to provide estimation for the probability of such…
We study, both analytically and numerically, an ARCH-like, multiscale model of volatility, which assumes that the volatility is governed by the observed past price changes on different time scales. With a power-law distribution of time…
We present a simple model of earthquakes on a pre-existing hierarchical fault network. The system self-organizes on long time scales in a stationary state with a power law Gutenberg-Richter distribution of earthquake sizes. The largest…
We consider a branching model of triggered seismicity, the ETAS (epidemic-type aftershock sequence) model which assumes that each earthquake can trigger other earthquakes (``aftershocks''). An aftershock sequence results in this model from…
Physics-based and statistic-based models for describing seismic occurrence are two sides of the same coin. In this article we compare the temporal organization of events obtained in a spring-block model for the seismic fault with the one…
This paper estimates models of high frequency index futures returns using `around the clock' 5-minute returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities,…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
Prediction of events in financial markets is every investor's dream and, usually, wishful thinking. From a more general, economic and societal viewpoint, the identification of indicators for large events is highly desirable to assess…
In many real world chaotic systems, the interest is typically in determining when the system will behave in an extreme manner. Flooding and drought, extreme heatwaves, large earthquakes, and large drops in the stock market are examples of…
We explore a simple lattice field model intended to describe statistical properties of high frequency financial markets. The model is relevant in the cross-disciplinary area of econophysics. Its signature feature is the emergence of a…