Related papers: Identifying financial crises in real time
The field of study of complex systems considers that the dynamics of complex systems are founded on universal principles that may be used to describe a great variety of scientific and technological approaches of different types of natural,…
In this paper, we provide a simple, ``generic'' interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as observed…
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…
We present a new framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the nonextensive thermostatistics proposed by Tsallis. We also show that intermittency…
This paper is an attempt at understanding the quantum-like dynamics of financial markets in terms of non-differentiable price-time continuum having fractal properties. The main steps of this development are the statistical scaling, the…
We investigate the recently introduced variety of a set of stock returns traded in a financial market. This investigation is done by considering daily and intraday time horizons in a 15-day time period centered at the August 31st, 1998…
We present a general method to identify an arbitrary number of fluctuating quantities which satisfy a detailed fluctuation theorem for all times within the framework of time-inhomogeneous Markovian jump processes. In doing so we provide a…
Identifying macroeconomic events that are responsible for dramatic changes of economy is of particular relevance to understand the overall economic dynamics. We introduce an open-source available efficient Python implementation of a…
Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using…
We take inspiration from statistical physics to develop a novel conceptual framework for the analysis of financial markets. We model the order book dynamics as a motion of particles and define the momentum measure of the system as a way to…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel…
We introduce a mathematical criterion defining the bubbles or the crashes in financial market price fluctuations by considering exponential fitting of the given data. By applying this criterion we can automatically extract the periods in…
Measuring systemic risk or fragility of financial systems is a ubiquitous task of fundamental importance in analyzing market efficiency, portfolio allocation, and containment of financial contagions. Recent attempts have shown that…
There are two main approaches to non-equlibrium statistical mechanics: one using stochastic processes and the other using dynamical systems. To model the dynamics during inflation one usually adopts a stochastic description, which is known…
A new approach to the understanding of the complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in the Kolmogorov-Chaitin theory is applied…
A new approach to the understanding of complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in Kolmogorov-Chaitin theory is applied to…
A challenging problem in physics concerns the possibility of forecasting rare but extreme phenomena such as large earthquakes, financial market crashes, and material rupture. A promising line of research involves the early detection of…
In this paper we contrast the dynamics of the 2022 Ukraine invasion financial crisis with notable financial crises of the 21st century - the dot-com bubble, global financial crisis and COVID-19. We study the similarity in market dynamics…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…