Related papers: Endogenous Crashes as Phase Transitions
Modelling crash rates in an urban area requires a swathe of data regarding historical and prevailing traffic volumes and crash events and characteristics. Provided that the traffic volume of urban networks is largely defined by typical work…
Many time series are effectively generated by a combination of deterministic continuous flows along with discrete jumps sparked by stochastic events. However, we usually do not have the equation of motion describing the flows, or how they…
We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…
The concept of entropy is not uniquely relevant to the statistical mechanics but among others it can play pivotal role in the analysis of a time series, particularly the stock market data. In this area sudden events are especially…
This paper proposes a simple technical approach for the analytical derivation of Point-in-Time PD (probability of default) forecasts, with minimal data requirements. The inputs required are the current and future Through-the-Cycle PDs of…
The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been…
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…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
A phase transition is an example of a ``topological defect'' in the space of parameters of a quantum or classical many-body systems. In this paper, we consider phase diagram topological defects of higher codimension. These have the property…
Detecting early warning indicators for abrupt dynamical transitions in complex systems or high-dimensional observation data is essential in many real-world applications, such as brain diseases, natural disasters, and engineering…
In multi-agent environments in which coordination is desirable, the history of play often causes lock-in at sub-optimal outcomes. Notoriously, technologies with a significant environmental footprint or high social cost persist despite the…
Four-dimensional CDT (causal dynamical triangulations) is a lattice theory of geometries which one might use in an attempt to define quantum gravity non-perturbatively, following the standard procedures of lattice field theory. Being a…
Large deviation theory provides the framework to study the probability of rare fluctuations of time-averaged observables, opening new avenues of research in nonequilibrium physics. One of the most appealing results within this context are…
Collective behaviours taking place in financial markets reveal strongly correlated states especially during a crisis period. A natural hypothesis is that trend reversals are also driven by mutual influences between the different stock…
Using an infinite Matrix Product State (iMPS) technique based on the time-dependent variational principle (TDVP), we study two major types of dynamical phase transitions (DPT) in the one-dimensional transverse-field Ising model (TFIM) with…
Thermodynamic conventions suffer from describing dynamical distinctions, especially when the structural and energetic changes induced by localized rare events are insignificant. By using the ensemble theory in the trajectory space, we…
We study an integrable spin chain with three spin interactions and the staggered field ($\lambda$) while the latter is quenched either slowly (in a linear fashion in time ($t$) as $t/\tau$ where $t$ goes from a large negative value to a…
Phase transitions are a fundamental concept in science describing diverse phenomena ranging from, e.g., the freezing of water to Bose-Einstein condensation. While the concept is well-established in equilibrium, similarly fundamental…
Nonlinear dynamical systems exposed to changing forcing can exhibit catastrophic transitions between alternative and often markedly different states. The phenomenon of critical slowing down (CSD) can be used to anticipate such transitions…
Discrete dynamical systems can exhibit complex behaviour from the iterative application of straightforward local rules. A famous example are cellular automata whose global dynamics are notoriously challenging to analyze. To address this, we…