Related papers: Endogenous Crashes as Phase Transitions
Predicting extreme events in high-dimensional chaotic dynamical systems remains a fundamental challenge, as such events are rare, intermittent, and arise from transient dynamical mechanisms that are difficult to infer from limited…
Extreme events gain the attention of researchers due to their utmost importance in various contexts ranging from finance to climatology. This brings such recurrent events to the limelight of attention in interdisciplinary research. A…
We propose a novel approach to generate chaotic business cycles in a deterministic setting. Rather than producing chaos endogenously, we consider aggregate economic models with limit cycles and equilibriums, subject them to chaotic…
Ecosystems often undergo abrupt regime shifts in response to gradual external changes. These shifts are theoretically understood as a regime switch between alternative stable states of the ecosystem dynamical response to smooth changes in…
Several authors have noticed the signature of log-periodic oscillations prior to large stock market crashes [cond-mat/9509033, cond-mat/9510036, Vandewalle et al 1998]. Unfortunately good fits of the corresponding equation to stock market…
Lane changes are complex driving behaviors and frequently involve safety-critical situations. This study aims to develop a lane-change-related evasive behavior model, which can facilitate the development of safety-aware traffic simulations…
We develop a discrete-event modeling framework that captures the progression of geophysical systems toward catastrophic failure through sequences of distinct damage events. By representing system evolution as a succession of temporally…
We take prior-to-crash market prices (NASDAQ, Dow Jones Industrial Average) as a signal, a function of time, we project these discrete values onto a vertical axis, thus obtaining a Cantordust. We study said cantordust with the tools of…
Rock masses in deep underground environments under high in-situ stress often exhibit episodic creep behavior, driven by complex interactions between external perturbation and internal reorganization. The causes of these creep episodes and…
This paper proposes a simple and parsimonious discrete-time simulation model to describe the endogenous formation and periodic collapse of financial bubbles. While existing literature has extensively explored the statistical properties of…
In this paper we investigate the endogenous information contained in four liquidity variables at a five minutes time scale on equity markets around the world: the traded volume, the bid-ask spread, the volatility and the volume at first…
Sharp changes in time series representing market dynamics are studied by means of the self--similar analysis suggested earlier by the authors. These sharp changes are market booms and crashes. Such crises phenomena in markets are analogous…
Oft-cited causes of mini-flash crashes include human errors, endogenous feedback loops, the nature of modern liquidity provision, fundamental value shocks, and market fragmentation. We develop a mathematical model which captures aspects of…
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 financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…
The potential for complex systems to exhibit tipping points in which an equilibrium state undergoes a sudden and often irreversible shift is well established, but prediction of these events using standard forecast modeling techniques is…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
The model describing market dynamics after a large financial crash is considered in terms of the stochastic differential equation of Ito. Physically, the model presents an overdamped Brownian particle moving in the nonstationary…
This paper presents a probabilistic model for reasoning about the state of a system as it changes over time, both due to exogenous and endogenous influences. Our target domain is a class of medical prediction problems that are neither so…
We argue that the word ``critical'' in the title is not purely literary. Based on our and other previous work on nonlinear complex dynamical systems, we summarize present evidence, on the Oct. 1929, Oct. 1987, Oct. 1987 Hong-Kong, Aug. 1998…