Related papers: Identifying financial crises in real time
We study how large fluctuations are spatially correlated in the presence of quantum diffusion during inflation. This is done by computing real-space correlation functions in the stochastic-$\delta N$ formalism. We first derive an exact…
Financial markets are well known for their dramatic dynamics and consequences that affect much of the world's population. Consequently, much research has aimed at understanding, identifying and forecasting crashes and rebounds in financial…
Fluctuations in conjugate thermodynamic variables are studied using the cross-correlation function. A new procedure is given enabling the derivation of fluctuation formulas for a system in equilibrium. Specifically, the cross-correlation…
Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this paper we propose and investigate the…
We introduce a new identification strategy for uncertainty shocks to explain macroeconomic volatility in financial markets. The Chicago Board Options Exchange Volatility Index (VIX) measures market expectations of future volatility, but…
Dynamical systems in nature such as fluid flows, heart beat patterns, rainfall variability, stock market price fluctuations, etc. exhibit selfsimilar fractal fluctuations on all scales in space and time. Power spectral analyses of fractal…
Investigating the thermal inflationary model, we introduce stochastic effects, incorporating a cutoff parameter $\sigma$ which distinguishes between quantum and classical modes. Testing the model against Planck 2018 data, we observe a…
In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable…
In this study, we evaluate the effects of natural disasters on the stock (market) values of firms located in the affected counties. We are able to measure the change in stock prices of the firms affected by the 2021 Texas winter storm. To…
Is the present economic and financial crisis similar to some previous one? It would be so nice to prove that universality laws exist for predicting such rare events under a minimum set of realistic hypotheses. First, I briefly recall…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive…
Fluctuation theorems have become an important tool in single molecule biophysics to measure free energy differences from non-equilibrium experiments. When significant coarse-graining or noise affect the measurements, the determination of…
Fire sales are among the major drivers of market instability in modern financial systems. Due to iterated distressed selling and the associated price impact, initial shocks to some institutions can be amplified dramatically through the…
Many natural systems exhibit dynamics characterized by alternating phases or recurring sets of states. Describing the fluctuations of such systems over stochastic trajectories is necessary across diverse fields, from biological motors to…
Financial crises are a recurrent phenomenon with important effects on the real economy. The financial system is inherently fragile and it is therefore of great importance to be able to measure and characterize its systemic stability.…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
We propose a set of dependence measures that are non-linear, local, invariant to a wide range of transformations on the marginals, can show tail and risk asymmetries, are always well-defined, are easy to estimate and can be used on any…
The financial turmoil surrounding the Great Recession called for unprecedented intervention by Central Banks: unconventional policies affected various areas in the economy, including stock market volatility. In order to evaluate such…
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are able to comment on stock market efficiency after controlling…