Related papers: Aftershock prediction for high-frequency financial…
According to some recent analysis (M. Baiesi and M. Paczuski, Phys. Rev. E {\bf 69}, 066106, 2004 \cite{maya1}) of earthquake data, aftershock epicenters can be considered to represent the nodes of a network where the linking scheme depends…
The aftershock sequence of the devastating Japan earthquake of March 2011 is analyzed for the presence of periodicities at the Earth tide periods. We use spectral analysis as well as a time-domain method KORRECT developed earlier to detect…
We investigate the spatial distribution of aftershocks and we find that aftershock linear density exhibits a maximum, that depends on the mainshock magnitude, followed by a power law decay. The exponent controlling the asymptotic decay and…
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods…
Predicting volatility in financial markets, including stocks, index ETFs, foreign exchange, and cryptocurrencies, remains a challenging task due to the inherent complexity and non-linear dynamics of these time series. In this study, I apply…
We present a dynamical theory of asset price bubbles that exhibits the appearance of bubbles and their subsequent crashes. We show that when speculative trends dominate over fundamental beliefs, bubbles form, leading to the growth of asset…
We propose a method to learn the nonlinear impulse responses to structural shocks using neural networks, and apply it to uncover the effects of US financial shocks. The results reveal substantial asymmetries with respect to the sign of the…
We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, ``bounded rationality'' and a probabilistic description. We also…
In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility…
We investigate the large-volatility dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a…
As part of an effort to develop a systematic methodology for earthquake forecasting, we use a simple model of seismicity based on interacting events which may trigger a cascade of earthquakes, known as the Epidemic-Type Aftershock Sequence…
We apply the concepts of multifractal physics to financial time series in order to characterize the onset of crash for the Standard & Poor's 500 stock index x(t). It is found that within the framework of multifractality, the "analogous"…
We present an analytical solution and numerical tests of the epidemic-type aftershock (ETAS) model for aftershocks, which describes foreshocks, aftershocks and mainshocks on the same footing. The occurrence rate of aftershocks triggered by…
We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…
Here we focus on a basic statistical measure of earthquake catalogs that has not been studied before, the asymmetry of interevent time series (e.g., reflecting the tendency to have more aftershocks than spontaneous earthquakes). We define…
This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent price changes and price levels, which two lead to a belief in…
We consider two statistical regularities that were used to explain Omori's law of the aftershock rate decay: the Levy and Inverse Gaussian (IGD) distributions. These distributions are thought to describe stress behavior influenced by…
Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties…
If we assume that earthquakes are chaotic, and influenced locally then chaos theory suggests that there should be a temporal association between earthquakes in a local region that should be revealed with statistical examination. To date no…
Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…