Related papers: Modeling of crisis periods in stock markets

We discuss and extend a powerful, geometric framework to represent the set of portfolios, which identifies the space of asset allocations with the points lying in a convex polytope. Based on this viewpoint, we survey certain…

In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…

This paper identifies the cryptocurrency market crashes and analyses its dynamics using the complex network. We identify three distinct crashes during 2017-20, and the analysis is carried out by dividing the time series into pre-crash,…

We analyze the time series of four major cryptocurrencies (Bitcoin, Ethereum, Litecoin, and Ripple) before the digital market crash at the end of 2017 - beginning 2018. We introduce a methodology that combines topological data analysis with…

Accurately assessing financial risk requires capturing both individual asset volatility and the complex, asymmetric dependence structures that emerge during extreme market events. While modern diffusion-based models have advanced…

Forming quantitative portfolios using statistical risk models presents a significant challenge for hedge funds and portfolio managers. This research investigates three distinct statistical risk models to construct quantitative portfolios of…

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…

Financial markets are well known for their dramatic dynamics and consequences that affect much of the world's population. Consequently, much research has aimed at understanding, identifying and forecasting crashes and rebounds in financial…

We take inspiration from statistical physics to develop a novel conceptual framework for the analysis of financial markets. We model the order book dynamics as a motion of particles and define the momentum measure of the system as a way to…

The rapidly evolving cryptocurrency market presents unique challenges for investment due to its inherent volatility and evolving regulatory environment. Collective price movements can be exploited to construct diversified portfolios with…

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…

This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily…

In the dynamic landscape of the Web, we are witnessing the emergence of the Web3 paradigm, which dictates that platforms should rely on blockchain technology and cryptocurrencies to sustain themselves and their profitability.…

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,…

In this paper we contrast the dynamics of the 2022 Ukraine invasion financial crisis with notable financial crises of the 21st century - the dot-com bubble, global financial crisis and COVID-19. We study the similarity in market dynamics…

The study of the critical dynamics in complex systems is always interesting yet challenging. Here, we choose financial market as an example of a complex system, and do a comparative analyses of two stock markets - the S&P 500 (USA) and…

The year 2017 saw the rise and fall of the crypto-currency market, followed by high variability in the price of all crypto-currencies. In this work, we study the abrupt transition in crypto-currency residuals, which is associated with the…

Being archetypal complex systems, financial markets exhibit rich set of dynamics in their interactions. In this paper, we focus on the recently evolved cryptocurrency market as an example of a complex system and analyse the evolution of…

Thanks to the high potential for profit, trading has become increasingly attractive to investors as the cryptocurrency and stock markets rapidly expand. However, because financial markets are intricate and dynamic, accurately predicting…

Starting on February 20, 2020, the global stock markets began to suffer the worst decline since the Great Recession in 2008, and the COVID-19 has been widely blamed on the stock market crashes. In this study, we applied the log-periodic…