Related papers: Endogenous Crashes as Phase Transitions
Predicting when and where events will occur in cities, like taxi pick-ups, crimes, and vehicle collisions, is a challenging and important problem with many applications in fields such as urban planning, transportation optimization and…
The principal aim of this work is the evidence on empirical way that catastrophic bifurcation breakdowns or transitions, proceeded by flickering phenomenon, are present on notoriously significant and unpredictable financial markets.…
Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audience. Systemic risk and propagation of shocks in financial…
Renowned method of log-periodic power law(LPPL) is one of the few ways that a financial market crash could be predicted. Alongside with LPPL, this paper propose a novel method of stock market crash using white box model derived from simple…
Rare events such as conformational changes in biomolecules, phase transitions, and chemical reactions are central to the behavior of many physical systems, yet they are extremely difficult to study computationally because unbiased…
Historically, the economic recession often came abruptly and disastrously. For instance, during the 2008 financial crisis, the SP 500 fell 46 percent from October 2007 to March 2009. If we could detect the signals of the crisis earlier, we…
Dynamical quantum phase transitions (DQPTs), which serve as a theoretical framework for understanding far-from-equilibrium physics in quantum many-body systems, have recently been observed experimentally. Their topological properties are…
This work investigates dynamical quantum phase transitions (DQPTs) in a one-dimensional Ising model subjected to a periodically modulated transverse field. In contrast to sudden quenches, we demonstrate that a DQPT can be induced in two…
This paper presents a novel learning based framework for predicting power outages caused by extreme events. The proposed approach targets low-probability high-consequence outage scenarios and leverages a comprehensive set of features…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
Factor modeling of asset returns has been a dominant practice in investment science since the introduction of the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). The factors, which account for the systematic risk,…
We present a model that investigates the spontaneous emergence of randomness in equity market microstructure. The phase space analysis of our model exposes an endogenous source of fluctuation in price and volume. We formulate a control…
Many dynamical systems operate in a fluctuating environment. However, even in low-dimensional setups, transitions and bifurcations have not yet been fully understood. In this Letter we focus on crises, a sudden flooding of the phase space…
We propose a non linear Langevin equation as a model for stock market fluctuations and crashes. This equation is based on an identification of the different processes influencing the demand and supply, and their mathematical transcription.…
Data-Driven Predictive Control (DDPC) has been recently proposed as an effective alternative to traditional Model Predictive Control (MPC), in that the same constrained optimization problem can be addressed without the need to explicitly…
Market instability has been extensively studied using mathematical approaches to characterize complex trading dynamics and detect structural change points. This study explores the potential for early warning of market instability by…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
Understanding the transition events between metastable states in complex systems is an important subject in the fields of computational physics, chemistry and biology. The transition pathway plays an important role in characterizing the…
A challenging problem in physics concerns the possibility of forecasting rare but extreme phenomena such as large earthquakes, financial market crashes, and material rupture. A promising line of research involves the early detection of…
The paper is devoted to elaboration of a novel specific indicator based on the modified Holder exponents. This indicator has been used for forecasting critical points of financial time series and crashes of the USA stock market. The…