Related papers: The 2020 Global Stock Market Crash: Endogenous or …
We employed the log-periodic power law singularity (LPPLS) methodology to systematically investigate the 2020 stock market crash in the U.S. equities sectors with different levels of total market capitalizations through four major U.S.…
We perform an extended analysis of the distribution of drawdowns in the two leading exchange markets (US dollar against the Deutsmark and against the Yen), in the major world stock markets, in the U.S. and Japanese bond market and in the…
This paper explores the mechanisms behind extreme financial events, specifically market crashes, by employing the theoretical framework of phase transitions. We focus on endogenous crashes, driven by internal market dynamics, and model…
Markets are subjected to both endogenous and exogenous risks that have caused disruptions to financial and economic markets around the globe, leading eventually to fast stock market declines. In the past, markets have recovered after any…
This paper presents an exclusive classification of the largest crashes in Dow Jones Industrial Average (DJIA), SP500 and NASDAQ in the past century. Crashes are objectively defined as the top-rank filtered drawdowns (loss from the last…
Renowned method of log-periodic power law(LPPL) is one of the few ways that a financial market crash could be predicted. Alongside with LPPL, this paper propose a novel method of stock market crash using white box model derived from simple…
In this study, we perform a novel analysis of the 2015 financial bubble in the Chinese stock market by calibrating the Log Periodic Power Law Singularity (LPPLS) model to two important Chinese stock indices, SSEC and SZSC, from early 2014…
Speculative bubbles exhibit common statistical signatures across many financial markets, suggesting the presence of universal underlying mechanisms. We test this hypothesis in the Iranian stock market, an economy that is highly isolated,…
The stock market is volatile and complicated, especially in 2020. Because of a series of global and regional "black swans," such as the COVID-19 pandemic, the U.S. stock market triggered the circuit breaker three times within one week of…
In the past decade, Bitcoin as an emerging asset class has gained widespread public attention because of their extraordinary returns in phases of extreme price growth and their unpredictable massive crashes. We apply the log-periodic power…
We identify a robust structural signature of stock markets during exogenous shock events by analyzing collective return dynamics across G5 countries. Using Random Matrix Theory, we introduce the complexity gap, defined as the difference…
We present an advance bubble detection methodology based on the Log Periodic Power Law Singularity (LPPLS) confidence indicator for the early causal identification of positive and negative bubbles in the Chinese stock market using the daily…
A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or 'crashes', contain parameters that are confined within certain ranges. The mechanism that has been claimed…
We exploit a recent computational framework to model and detect financial crises in stock markets, as well as shock events in cryptocurrency markets, which are characterized by a sudden or severe drop in prices. Our method manages to detect…
The paper presents a comprehensive causality analysis of the US stock and commodity markets during the COVID-19 crash. The dynamics of different sectors are also compared. We use Topological Data Analysis (TDA) on multidimensional…
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bifurcations and phase transitions, the…
We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We…
During any unique crisis, panic sell-off leads to a massive stock market crash that may continue for more than a day, termed as mainshock. The effect of a mainshock in the form of aftershocks can be felt throughout the recovery phase of…
Since August 2000, the stock market in the USA as well as most other western markets have depreciated almost in synchrony according to complex patterns of drops and local rebounds. In \cite{SZ02QF}, we have proposed to describe this…
Historically, the economic recession often came abruptly and disastrously. For instance, during the 2008 financial crisis, the SP 500 fell 46 percent from October 2007 to March 2009. If we could detect the signals of the crisis earlier, we…