Related papers: Nostradamus: Weathering Worth
Weather affects our mood and behaviors, and many aspects of our life. When it is sunny, most people become happier; but when it rains, some people get depressed. Despite this evidence and the abundance of data, weather has mostly been…
Our environment includes many factors, and each person on the Earth is permanently influenced by two of them: weather and magnetic field. It was found in the works of many investigators that the weather changes correlate with human health…
The paper presents an evolutionary economic model for the price evolution of stocks. Treating a stock market as a self-organized system governed by a fast purchase process and slow variations of demand and supply the model suggests that the…
We use a new method of studying the Hurst exponent with time and scale dependency. This new approach allow us to recover the major events affecting worldwide markets (such as the September 11th terrorist attack) and analyze the way those…
Many complex systems exhibit extreme events far more often than expected for a normal distribution. This work examines how self-similar bursts of activity across several orders of magnitude can emerge from first principles in systems that…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
We study the prices of European Emission Allowances (EUA), whereby we analyze their uncertainty and dependencies on related energy prices (natural gas, coal, and oil). We propose a probabilistic multivariate conditional time series model…
Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk. We study the imprints of \emph{crowding} on both anonymous market data and a large…
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…
Energy demand prediction is critical for grid operators, industrial energy consumers, and service providers. Energy demand is influenced by multiple factors, including weather conditions (e.g. temperature, humidity, wind speed, solar…
We find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the other stocks traded in the same market. This result is a…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
The stock market is a network which provides a platform for almost all major economic transactions. While investing in the stock market is a good idea, investing in individual stocks may not be, especially for the casual investor. Smart…
We use continuous wavelet tools to characterize the dynamics of climate change across time and frequencies. This approach allows us to capture the changing patterns in the relationship between global mean temperature anomalies and climate…
Species extinction is a core process that affects the diversity of life on Earth. Competition between species in a population is considered by ecological niche-based theories as a key factor leading to different severity of species…
Environmental stochasticity is known to be a destabilizing factor, increasing abundance fluctuations and extinction rates of populations. However, the stability of a community may benefit from the differential response of species to…
Knowing and modelling the migration phenomena and especially the social and economic consequences have a theoretical and practical importance, being related to their consequences for development, economic progress (or as appropriate,…
The magnetic cycle of the Sun, as manifested in the cyclic appearance of sunspots, significantly influences our space environment and space-based technologies by generating what is now termed as space weather. Long-term variation in the…
We use Random Matrix Theory (RMT) and information theory to analyze the correlations and flow of information between 64,939 news from The New York Times and 40 world financial indices during 10 months along the period 2015-2016. The set of…
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of…