Related papers: Aftershock prediction for high-frequency financial…
We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late…
We develop a forecasting methodology for providing credible forecasts for time series that have recently undergone a shock. We achieve this by borrowing knowledge from other time series that have undergone similar shocks for which…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
The epidemic-type aftershock sequence model (ETAS) is a simple stochastic process modeling seismicity, based on the two best-established empirical laws, the Omori law (power law decay ~1/t^{1+\theta} of seismicity after an earthquake) and…
Recent years have seen an unprecedented rise of the role that technology plays in all aspects of human activities. Unavoidably, technology has heavily entered the Capital Markets trading space, to the extent that all major exchanges are now…
The conventional formal tool to detect effects of the financial persistence is in terms of the Hurst exponent. A typical corresponding result is that its value comes out close to 0.5, as characteristic for geometric Brownian motion, with at…
Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them.…
We study analytically and by numerical simulations the statistics of the aftershocks generated after large avalanches in models of interface depinning that include viscoelastic relaxation effects. We find in all the analyzed cases that the…
This paper explores the mechanisms behind extreme financial events, specifically market crashes, by employing the theoretical framework of phase transitions. We focus on endogenous crashes, driven by internal market dynamics, and model…
The use of factor stochastic volatility models requires choosing the number of latent factors used to describe the dynamics of the financial returns process; however, empirical evidence suggests that the number and makeup of pertinent…
The distribution of inter-occurrence time between seismic events is a quantity of great interest in seismic risk assessment. We evaluate this distribution for different models of earthquakes occurrence and follow two distinct approaches:…
Hawkes process is one of the most commonly used models for investigating the self-exciting nature of earthquake occurrences. However, seismicity patterns have complicated characteristics due to heterogeneous geology and stresses, for which…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
Short and long range interactions between earthquakes are attracting increasing interest. Scale invariant properties of seismicity in time, space and energy argue for the presence of complex triggering mechanisms where, like a cascade…
In many complex systems a continuous input of energy over time can be suddenly relaxed in the form of avalanches. Conventional avalanche models disregard the possibility of internal dynamical effects in the inter-avalanche periods, and thus…
Brittle fractures of inhomogeneous materials like rocks, concrete, or ceramics are of two types: Nominally brittle and driven by the propagation of a single dominant crack or quasi-brittle and resulting from the accumulation of many…
This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connections. Currencies that transmit more volatility shocks, which…
Computational earthquake sequence models provide generative estimates of the time, location, and size of synthetic seismic events that can be compared with observed earthquake histories and assessed as rupture forecasts. Here we describe a…