Related papers: Identifying financial crises in real time
The economical world consists of a highly interconnected and interdependent network of firms. Here we develop temporal and structural network tools to analyze the state of the economy. Our analysis indicates that a strong clustering can be…
During thermal inflation, the temperature determines the number of e-folds of expansion of the universe and so thermal fluctuations are magnified into curvature perturbations. We use classical thermodynamics to calculate the subhorizon…
While the use of volatilities is pervasive throughout finance, our ability to determine the instantaneous volatility of stocks is nascent. Here, we present a method for measuring the temporal behavior of stocks, and show that stock prices…
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
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''…
Renowned method of log-periodic power law(LPPL) is one of the few ways that a financial market crash could be predicted. Alongside with LPPL, this paper propose a novel method of stock market crash using white box model derived from simple…
Nowadays, when crashes and crises are rather frequent events, an effective monitoring system for the international financial market is needed. Modern nonlinear methods, such as Recurrence Quantification Analysis (RQA), demonstrate the…
Large fluctuations have received considerable attention as they encode information on the fine-scale dynamics. Large deviation relations known as fluctuation theorems also capture crucial nonequilibrium thermodynamical properties. Here we…
This paper employs Topological Data Analysis (TDA) to detect extreme events (EEs) in the stock market at a continental level. Previous approaches, which analyzed stock indices separately, could not detect EEs for multiple time series in one…
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior…
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…
The multi-index matching is an NP-hard combinatorial optimization problem; for two indices it reduces to the well understood bipartite matching problem that belongs to the polynomial complexity class. We use the cavity method to solve the…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
Modelling accurately financial price variations is an essential step underlying portfolio allocation optimization, derivative pricing and hedging, fund management and trading. The observed complex price fluctuations guide and constraint our…
Fluctuation theorems are fundamental extensions of the second law of thermodynamics for small nonequilibrium systems. While work and heat are equally important forms of energy exchange, fluctuation relations have not been experimentally…
This paper proposes a simple and parsimonious discrete-time simulation model to describe the endogenous formation and periodic collapse of financial bubbles. While existing literature has extensively explored the statistical properties of…
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…
The aim of this work is to create systematic trading strategies built upon several financial crisis indicators based on the spectral properties of market dynamics. Within the limitations of our framework and data, we will demonstrate that…
We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency when the data of interest are generated…
We study the method for detecting relationship changes in financial markets and providing human-interpretable network visualization to support the decision-making of fund managers dealing with multi-assets. First, we construct co-occurrence…