Related papers: Financial bubbles: mechanisms and diagnostics
Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose center is given by a moving average of past price traces…
We clarify the status of log-periodicity associated with speculative bubbles preceding financial crashes. In particular, we address Feigenbaum's [2001] criticism and show how it can be rebuked. Feigenbaum's main result is as follows: ``the…
The recent surge in valuations among AI related firms has renewed concerns that markets may be entering a new phase of speculative exuberance, especially in the technology and semiconductor sectors at the center of the AI investment wave.…
We amend and extend the Chiarella model of financial markets to deal with arbitrary long-term value drifts in a consistent way. This allows us to improve upon existing calibration schemes, opening the possibility of calibrating individual…
We present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the…
We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…
We show that infinite divisibility of a trading commodity leads to a self-sustained price bubble when traders use adaptive investment strategies. The adaptive strategy can be viewed as a psychological response of a trader to the situation…
The rapid spread of information over social media influences quantitative trading and investments. The growing popularity of speculative trading of highly volatile assets such as cryptocurrencies and meme stocks presents a fresh challenge…
We analyze the linear response of a market network to shocks based on the bipartite market model we introduced in an earlier paper, which we claimed to be able to identify the time-line of the 2009-2011 Eurozone crisis correctly. We show…
Eternal inflation is a seemingly generic consequence of theories that give rise to accelerated expansion of the universe and possess multiple vacuum states. Making predictions in an eternally inflating universe is notoriously difficult…
Bubbles in the interstellar medium are produced by astrophysical sources, which continuously or explosively deposit large amount of energy into the ambient medium. These expanding bubbles can drive shocks in front of them, which dynamics is…
In this study, we investigate asset price bubbles in a discrete-time, discrete-state market under model uncertainty and short sales prohibitions. Building on a new fundamental theorem of asset pricing and a superhedging duality in this…
In social networks, bursts of activity often result from the imitative behavior between interacting agents. The Ising model, along with its variants in the social sciences, serves as a foundational framework to explain these phenomena…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…
Bubbles have always captivated our curiosity with their aesthetics and complexities alike. While the act of blowing bubbles is familiar to everyone, the underlying physics of these fleeting spheres often eludes reasoning. In this letter, we…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
When a bubble of air rises to the top of a highly viscous liquid, it forms a dome-shaped protuberance on the free surface. Unlike a soap bubble, it bursts so slowly as to collapse under its own weight simultaneously, and folds into a…
A general theory of innovation and progress in human society is outlined, based on the combat between two opposite forces (conservatism/inertia and speculative herding "bubble" behavior). We contend that human affairs are characterized by…
We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential,…