Related papers: Endogenous Crashes as Phase Transitions
A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or 'crashes', contain parameters that are confined within certain ranges. The mechanism that has been claimed…
Landslides exhibit intermittent gravity-driven downslope movements developing over days to years before a possible major collapse, commonly boosted by external events like precipitations and earthquakes. The reasons behind these episodic…
The spontaneous emergence of scale invariance, called self-organized criticality (SOC), is often attributed to a second-order absorbing-state phase transition (ASPT). Many real-world systems display SOC, yet extreme events are often…
Extreme events jeopardize power network operations, causing beyond-design failures and massive supply interruptions. Existing market designs fail to internalize and systematically assess the risk of extreme and rare events. Efficiently…
Financial markets of emerging economies are vulnerable to extreme and cascading information spillovers, surges, sudden stops and reversals. With this in mind, we develop a new online early warning system (EWS) to detect what is referred to…
Considerable theoretical and experimental efforts have been devoted to the quench dynamics, in particular, the dynamical quantum phase transition (DQPT) and the steady-state transition. These developments have motivated us to study the…
We consider random walks evolving on two models of connected and undirected graphs and study the exact large deviations of a local dynamical observable. We prove, in the thermodynamic limit, that this observable undergoes a first-order…
Accurate estimation of the frequency and magnitude of successive extreme events in energy demand is critical for strategic resource planning. Traditional approaches based on extreme value theory (EVT) are typically limited to modelling…
In this work, we report the emergence of extreme events in a damped and driven velocity-dependent mechanical system. We observe that the extreme events emerge at multiple points. We further notice that the extreme events occur symmetrically…
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous, we envision either fluctuations resulting…
Large deviation theory provides a framework to understand macroscopic fluctuations and collective phenomena in many-body nonequilibrium systems in terms of microscopic dynamics. In these lecture notes we discuss the large deviation…
Bifurcations can cause dynamical systems with slowly varying parameters to transition to far-away attractors. The terms ``critical transition'' or ``tipping point'' have been used to describe this situation. Critical transitions have been…
When complex systems are driven to extinction by some external factor, their non-stationary dynamics can present an intermittent behaviour between relative tranquility and burst of activity whose consequences are often catastrophic. To…
Complex systems can undergo critical transitions, where slowly changing environmental conditions trigger a sudden shift to a new, potentially catastrophic state. Early warning signals for these events are crucial for decision-making in…
We identify a new universality class of phase transitions that emerges in non-normal systems, extending the classical framework beyond eigenvalue instabilities. Unlike traditional critical phenomena, where transitions occur when eigenvalues…
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…
Extreme events, such as market crashes, natural disasters, and pandemics, are rare but catastrophic, often triggering cascading failures across interconnected systems. Accurate prediction and early warning can help minimize losses and…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
A novel model for dynamical traps in intermittent human control is proposed. It describes probabilistic, step-wise transitions between two modes of a subject's behavior - active and passive phases in controlling an object's dynamics - using…
Dynamical quantum phase transitions (DQPTs) feature singular temporal behavior in transient quantum states during nonequilibrium real-time evolution. In this work we show that DQPTs in random Ising chains exhibit critical behavior with…