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Societies experience politically stable and unstable phases along history, whereas political power is usually passed to new elite groups by these changes. Structural dynamics of the elites in a society have been proposed to be one of the…
Metastability is a phenomenon observed in stochastic systems which stay in a false-equilibrium within a region of its state space until the occurrence of a sequence of rare events that leads to an abrupt transition to a different region.…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing…
Cascades of events and extreme occurrences have garnered significant attention across diverse domains such as financial markets, seismology, and social physics. Such events can stem either from the internal dynamics inherent to the system…
The aim of the present study is to detect abrupt trend changes in the mean of a multidimensional sequential signal. Directly inspired by papers of Fernhead and Liu ([4] and [5]), this work describes the signal in a hierarchical manner : the…
Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome…
Order can spontaneously emerge from seemingly noisy interactions between biological agents, like a flock of birds changing their direction of flight in unison, without a leader or an external cue. We are interested in the generic conditions…
Successful animal systems often manage risk through synchronous behavior that spontaneously arises without leadership. In critical human systems facing risk, such as financial markets or military operations, our understanding of the…
We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to…
We present a systematic, trend-following strategy, applied to commodity futures markets, that combines univariate trend indicators with cross-sectional trend indicators that capture so-called {\em momentum spillover}, which can occur when…
Random pairwise encounters often occur in large populations, or groups of mobile agents, and various types of local interactions that happen at encounters account for emergent global phenomena. In particular, in the fields of swarm…
This paper is concerned with a pairs trading rule. The idea is to monitor two historically correlated securities. When divergence is underway, i.e., one stock moves up while the other moves down, a pairs trade is entered which consists of a…
We propose a novel methodology to define, analyze and forecast market states. In our approach market states are identified by a reference sparse precision matrix and a vector of expectation values. In our procedure, each multivariate…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…
Using mobile phone records and information theory measures, our daily lives have been recently shown to follow strict statistical regularities, and our movement patterns are to a large extent predictable. Here, we apply entropy and…
We introduce a new regression method that relates the mean of an outcome variable to covariates, under the "adverse condition" that a distress variable falls in its tail. This allows to tailor classical mean regressions to adverse…
We explore the applicability of the causal analysis based on temporally shifted (lagged) Pearson correlation applied to diverse time series of different natures in context of the problem of financial market prediction. Theoretical…
Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…
A binary fluid mixture in contact with lateral particle reservoirs is considered. By imposing different particle concentrations in these reservoirs, the system can be maintained under controlled non-equilibrium conditions. Previous…