Related papers: Libor at crossroads: stochastic switching detectio…

This paper provides robust, new evidence on the causal drivers of market troughs. We demonstrate that conclusions about these triggers are critically sensitive to model specification, moving beyond restrictive linear models with a flexible…

The study efforts to explore and extend the crisis predictability by synthetically reviewing and comparing a full mixture of early warning models into two constitutions: crisis identifications and predictive models. Given empirical results…

Using data from a sample of 28 representatives countries, we propose a classification of currency crises consequences based on the ultrametric analysis of the real exchange rate movements time series, without any further assumption. By…

Understanding the stochastic behavior of currency exchange rates is critical for assessing financial stability and anticipating market transitions. In this study, we investigate the empirical dynamics of the USD exchange rate in three…

We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between…

This paper investigates cross-border lending behavior from the Group of Seven (G7) during the 2001-2013 period. We employ gravity model to consider how bilateral factors, global factors, and other determinants of pull factors affect cross…

In this paper we conduct a longitudinal analysis of the structure of labour markets in the US over 7 decades of technological, economic and policy change. We make use of network science, natural language processing and machine learning to…

We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…

We have presented a novel technique of detecting intermittencies in a financial time series of the foreign exchange rate data of U.S.- Euro dollar(US/EUR) using a combination of both statistical and spectral techniques. This has been…

In this paper we will discuss a model which describes the cause of inflation by a topological transition. The guiding principle is the choice of an exotic smoothness structure for the space-time. Here we consider a space-time with topology…

A short-term pattern in LIBOR dynamics was discovered. Namely, 2-month LIBOR experiences a jump after Xmas. The sign and size of the jump depend on the data trend on 21 days before Xmas.

This paper presents two case studies of data sets where the main inferential goal is to characterize time-varying patterns in model structure. Both of these examples are seen to be general cases of the so-called "partition problem," where…

A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…

In multivariate time series systems, it has been observed that certain groups of variables partially lead the evolution of the system, while other variables follow this evolution with a time delay; the result is a lead-lag structure amongst…

In complex systems, external parameters often determine the phase in which the system operates, i.e., its macroscopic behavior. For nearly a century, statistical physics has extensively studied systems' transitions across phases,…

Financial markets are dynamic, interconnected systems where local shocks can trigger widespread instability, challenging portfolio managers and policymakers. Traditional correlation analysis often miss the directionality and temporal…

This paper introduces a comprehensive framework for Financial Information Theory by applying information-theoretic concepts such as entropy, Kullback-Leibler divergence, mutual information, normalized mutual information, and transfer…

As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008…

Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…

An expanding literature articulates the view that Taylor rules are helpful in predicting exchange rates. In a changing world however, Taylor rule parameters may be subject to structural instabilities, for example during the Global Financial…