Related papers: Endogenous Crashes as Phase Transitions
Dynamical phase transitions (DPTs) in the space of trajectories are one of the most intriguing phenomena of nonequilibrium physics, but their nature in realistic high-dimensional systems remains puzzling. Here we observe for the first time…
Cascades of events and extreme occurrences have garnered significant attention across diverse domains such as financial markets, seismology, and social physics. Such events can stem either from the internal dynamics inherent to the system…
Noise-induced phase transitions are common in various complex systems, from physics to biology. In this article, we investigate the emergence of crucial events in noise-induced phase transition processes and their potential significance for…
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…
Many rare weather events, including hurricanes, droughts, and floods, dramatically impact human life. To accurately forecast these events and characterize their climatology requires specialized mathematical techniques to fully leverage the…
Catastrophic transitions, where a system shifts abruptly between alternate steady states, are a generic feature of many nonlinear systems. Recently these regime shift were suggested as the mechanism underlies many ecological catastrophes,…
Given two distinct subsets $A,B$ in the state space of some dynamical system, Transition Path Theory (TPT) was successfully used to describe the statistical behavior of transitions from $A$ to $B$ in the ergodic limit of the stationary…
This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices.…
Topological data analysis has been acknowledged as one of the most successful mathematical data analytic methodologies in various fields including medicine, genetics, and image analysis. In this paper, we explore the potential of this…
Using the mechanics of creep in material sciences as a metaphor, we present a general framework to understand the evolution of financial, economic and social systems and to construct scenarios for the future. In a nutshell, highly…
A large variety of complex systems in ecology, climate science, biomedicine and engineering have been observed to exhibit tipping points, where the internal dynamical state of the system abruptly changes. For example, such critical…
Catastrophic events, though rare, do occur and when they occur, they have devastating effects. It is, therefore, of utmost importance to understand the complexity of the underlying dynamics and signatures of catastrophic events, such as…
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…
Critical transitions, or large changes in the state of a system after a small change in the system's external conditions or parameters, commonly occur in a wide variety of disciplines, from the biological and social sciences to physics.…
Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attack or of the coup against Gorbachev on Aug., 19, 1991 from…
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past…
We propose a simple framework to understand commonly observed crisis waves in macroeconomic Agent Based models, that is also relevant to a variety of other physical or biological situations where synchronization occurs. We compute exactly…
A multi-physics formulation for Data Driven Prognosis (DDP) is developed. Unlike traditional predictive strategies that require controlled off-line measurements or training for determination of constitutive parameters to derive the…
Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…
We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We extend our previous renormalization group model of stock market prices prior to and after…