Related papers: New volatility evolution model after extreme event…
Extreme events such as natural and economic disasters leave lasting impacts on society and motivate the analysis of extremes from data. While classical statistical tools based on Gaussian distributions focus on average behaviour and can…
The sporadic large fluctuations are seen in the stock market due to changes in fundamental parameters, technical setups, and external factors. These large fluctuations are termed as Extreme Events (EE). The EEs may be positive or negative…
The evolution of two species with different fitness is investigated on degree-heterogeneous graphs. The population evolves either by one individual dying and being replaced by the offspring of a random neighbor (voter model (VM) dynamics)…
We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price changes. We analyze (a) the S&P 500 stock index for the…
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily stationary over time. We concern ourselves with…
Intermittent large amplitude events are seen in the temporal evolution of a state variable of many dynamical systems. Such intermittent large events suddenly start appearing in dynamical systems at a critical value of a system parameter and…
We propose a model for stochastic formation of opinion clusters, modelled by an evolving network, and herd behaviour to account for the observed fat-tail distribution in returns of financial-price data. The only parameter of the model is h,…
We propose a stochastic model for evolution. Births and deaths of species occur with constant probabilities. Each new species is associated with a fitness sampled from the uniform distribution on [0,1]. Every time there is a death event…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
We explore simple models aimed at the study of social contagion, in which contagion proceeds through two stages. When coupled with demographic turnover, we show that two-stage contagion leads to nonlinear phenomena which are not present in…
The recent availability of huge high resolution datasets on human activities has revealed the heavy-tailed nature of the interevent time distributions. In social simulations of interacting agents the standard approach has been to use…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…
Macroevolutionary dynamics often display sudden, explosive surges, where systems remain relatively stable for extended periods before experiencing dramatic acceleration that frequently exceeds traditional exponential growth. This pattern is…
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…
In spite of precautions to avoid the harmful effects of extreme events, we experience recurrently phenomena that overcome the preventive barriers. These barriers usually increase drastically right after the occurrence of such extreme…
The principle of absence of arbitrage opportunities allows obtaining the distribution of stock price fluctuations by maximizing its information entropy. This leads to a physical description of the underlying dynamics as a random walk…
The aim of the present study is to detect abrupt trend changes in the mean of a multidimensional sequential signal. Directly inspired by papers of Fernhead and Liu ([4] and [5]), this work describes the signal in a hierarchical manner : the…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It turns out that its properties, over any finite time interval,…
We study a model of stochastic evolutionary game dynamics in which the probabilities that agents choose suboptimal actions are dependent on payoff consequences. We prove a sample path large deviation principle, characterizing the rate of…