Related papers: Dissecting the dot-com bubble in the 1990s NASDAQ
With the large-scale penetration of the internet, for the first time, humanity has become linked by a single, open, communications platform. Harnessing this fact, we report insights arising from a unified internet activity and location…
The familiar process of bubbles generated via breaking waves in the ocean is foundational to many natural and industrial applications. In this process, large pockets of entrained gas are successively fragmented by the ambient turbulence…
We develop a methodology for detecting asset bubbles using a neural network. We rely on the theory of local martingales in continuous-time and use a deep network to estimate the diffusion coefficient of the price process more accurately…
We show that the emergence of systemic risk in complex systems can be understood from the evolution of functional networks representing interactions inferred from fluctuation correlations between macroscopic observables. Specifically, we…
We seek to deepen understanding of the micro-foundations of institutionalization while contributing to a sociological theory of markets by investigating the puzzle of price bubbles in financial markets. We find that such markets, despite…
Bubbles, the semi-circular voids below quiescent prominences (filaments), have been extensively investigated in the past decade. However, hitherto the magnetic nature of bubbles cannot be verified due to the lack of on-disk photospheric…
This paper presents a cross-domain trend analysis that aims to identify and analyze the relationships between stock prices, stock news on Twitter, and users' behaviors on e-commerce websites. The analysis is based on three datasets: a US…
Establishing unambiguously the existence of speculative bubbles is an on-going controversy complicated by the need of defining a model of fundamental prices. Here, we present a novel empirical method which bypasses all the difficulties of…
Since the beginning of the new millennium, stock markets went through every state from long-time troughs, trade suspensions to all-time highs. The literature on asset pricing hence assumes random processes to be underlying the movement of…
We show that \emph{stochastic bursting} is observed in a ring of unidirectional delay-coupled noisy excitable systems, thanks to the combinational action of time-delayed coupling and noise. Under the approximation of timescale separation,…
A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…
We test a historical price time series in a financial market (the NASDAQ 100 index) for a statistical property known as detailed balance. The presence of detailed balance would imply that the market can be modeled by a stochastic process…
The dispersed phase in liquid-liquid emulsions and air-liquid mixtures can often be fragmented into smaller sizes by the surrounding turbulent carrier phase. The critical parameter that controls this process is the breakup frequency, which…
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…
The nature of computation and its role in our lives have been transformed in the past two decades by three remarkable developments: the emergence of public cloud utilities as a new computing platform; the ability to extract information from…
Given a network of fixed size $n$ and an initial distribution of data, we derive sufficient connectivity conditions on a sequence of time-varying digraphs for (a) data collection and (b) data dissemination, within at most $(n-1)$…
The paper deals with the problem of reconstructing the topological structure of a network of dynamical systems. A distance function is defined in order to evaluate the "closeness" of two processes and a few useful mathematical properties…
The bubble is a controversial and important issue. Many methods which based on the rational expectation have been proposed to detect the bubble. However, for some developing countries, epically China, the asset markets are so young that for…
We live in a computerized and networked society where many of our actions leave a digital trace and affect other people's actions. This has lead to the emergence of a new data-driven research field: mathematical methods of computer science,…
The spatio-temporal dynamics of separation bubbles induced to form in a fully-developed turbulent boundary layer (with Reynolds number based on momentum thickness of the boundary layer of 490) over a flat plate are studied via direct…