Related papers: Brexit or Bremain ? Evidence from bubble analysis
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
This paper is devoted to problem of detecting critical events at finiacial markets using methods of multifractal analysis. Namely, the local regularity of time-series is studied. As a result, one can find out a special behavior or signal of…
The sensitivity of Global Navigation Satellite Systems (GNSS) receivers to ionospheric disturbances and their constant growth are nowadays resulting in an increased concern of GNSS-users about the impacts of ionospheric disturbances at…
We respond to Sornette and Johansen's criticisms of our findings regarding log-periodic precursors to financial crashes. Included in this paper are discussions of the Sornette-Johansen theoretical paradigm, traditional methods of…
The term structure of interest rates (yield curve) is a critical facet of financial analytics, impacting various investment and risk management decisions. It is used by the central bank to conduct and monitor its monetary policy. That…
Financial sentiment analysis (FSA) has attracted significant attention, and recent studies increasingly explore large language models (LLMs) for this field. Yet most work evaluates only classification metrics, leaving unclear whether…
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 propose a method for obtaining maximum likelihood estimates (MLEs) of a Markov-Modulated Jump-Diffusion Model (MMJDM) when the data is a discrete time sample of the diffusion process, the jumps follow a Laplace distribution, and the…
The price-bubble and crash process formation is theoretically investigated in a two-asset equilibrium model. Sufficient and necessary conditions are derived for the existence of average equilibrium price dynamics of different agent-based…
Our study empirically predicts the bubble of non-fungible tokens (NFTs): transferable and unique digital assets on public blockchains. This topic is important because, despite their strong market growth in 2021, NFTs on a project basis have…
There is a growing concern in recent years over the potential formation of bubbles in the Chinese real estate market. This paper aims to conduct a series of bubble diagnostic analysis over nine representative Chinese cities from two…
This study analyzes the transmission of market uncertainty on key European financial markets and the cryptocurrency market over an extended period, encompassing the pre, during, and post-pandemic periods. Daily financial market indices and…
The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. Behavioural patterns are injected into an asset pricing framework through…
We present a method and software for ballot-polling risk-limiting audits (RLAs) based on Bernoulli sampling: ballots are included in the sample with probability $p$, independently. Bernoulli sampling has several advantages: (1) it does not…
The estimation of voting blocs is an important statistical inquiry in political science. However, the scope of these analyses is usually restricted to roll call data where individual votes are directly observed. Here, we examine a Bayesian…
This paper presents a user modeling pipeline to analyze discussions and opinions shared on social media regarding polarized political events (e.g., public polls). The pipeline follows a four-step methodology. First, social media posts and…
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…
Large Language Models (LLMs) display remarkable capabilities to understand or even produce political discourse but have been found to consistently exhibit a progressive left-leaning bias. At the same time, so-called persona or identity…
In this paper, we showed that the no-arbitrage condition holds if the market follows the mixture of the geometric Brownian motion (GBM). The mixture of GBM can incorporate heavy-tail behavior of the market. It automatically leads us to…