Related papers: Why Topological Data Analysis Detects Financial Bu…
Recently, there has been an explosion in statistical learning literature to represent data using topological principles to capture structure and relationships. We propose a topological data analysis (TDA)-based framework, named Topological…
Prediction of events in financial markets is every investor's dream and, usually, wishful thinking. From a more general, economic and societal viewpoint, the identification of indicators for large events is highly desirable to assess…
Topological data analysis (TDA) allows us to explore the topological features of a dataset. Among topological features, lower dimensional ones have recently drawn the attention of practitioners in mathematics and statistics due to their…
Developing reliable methods to discriminate different transient brain states that change over time is a key neuroscientific challenge in brain imaging studies. Topological data analysis (TDA), a novel framework based on algebraic topology,…
Despite the remarkable accuracies attained by machine learning classifiers to separate complex datasets in a supervised fashion, most of their operation falls short to provide an informed intuition about the structure of data, and, what is…
Recent work has highlighted the utility of methods for early warning signal detection in dynamic systems approaching critical tipping thresholds. Often these tipping points resemble local bifurcations, whose low dimensional dynamics can…
The lead-lag effect, where the price movement of one asset systematically precedes that of another, has been widely observed in financial markets and conveys valuable predictive signals for trading. However, traditional lead-lag detection…
Methodology that recently lead us to predict to an amazing accuracy the date (July 11, 2008) of reverse of the oil price up trend is briefly summarized and some further aspects of the related oil price dynamics elaborated. This methodology…
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with…
We present a simple agent-based model to study the development of a bubble and the consequential crash and investigate how their proximate triggering factor might relate to their fundamental mechanism, and vice versa. Our agents invest…
We present an analysis of oil prices in US$ and in other major currencies that diagnoses unsustainable faster-than-exponential behavior. This supports the hypothesis that the recent oil price run-up has been amplified by speculative…
Price Trend Prediction (PTP) based on Limit Order Book (LOB) data is a fundamental challenge in financial markets. Despite advances in deep learning, existing models fail to generalize across different market conditions and assets.…
Advances in imaging techniques enable high resolution 3D visualisation of vascular networks over time and reveal abnormal structural features such as twists and loops, and their quantification is an active area of research. Here we showcase…
We revisit the classic paper of Tirole "Asset Bubbles and Overlapping Generations" (1985, Econometrica), which shows that the emergence of asset bubbles solves the capital over-accumulation problem. While Tirole's main insight holds with…
This paper is devoted to problem of detecting critical events at finiacial markets using methods of multifractal analysis. Namely, the local regularity of time-series is studied. As a result, one can find out a special behavior or signal of…
Asset price bubbles are situations where asset prices exceed the fundamental values defined by the present value of dividends. This paper presents a conceptually new perspective: the necessity of bubbles. We establish the Bubble Necessity…
Topological Data Analysis (TDA) is a rapidly growing field, which studies methods for learning underlying topological structures present in complex data representations. TDA methods have found recent success in extracting useful geometric…
We analyze a controlled price formation experiment in the laboratory that shows evidence for bubbles. We calibrate two models that demonstrate with high statistical significance that these laboratory bubbles have a tendency to grow faster…
There is a large body of work, built on tools developed in mathematics and physics, demonstrating that financial market prices exhibit self-similarity at different scales. In this paper, we explore the use of analytical topology to…
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…