Related papers: Comment on "Are financial crashes predictable?"
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…
Discussion of "A statistical analysis of multiple temperature proxies: Are reconstructions of surface temperatures over the last 1000 years reliable?" by B.B. McShane and A.J. Wyner [arXiv:1104.4002]
Reply to the comment, cond-mat/0209398 by by N.W. Watkins, S.C. Chapman, and G. Rowlands
Discussion of "Estimating the historical and future probabilities of large terrorist events" by Aaron Clauset and Ryan Woodard [arXiv:1209.0089].
Some personal reflections on the past and future of "econophysics", to appear in Europhysics News
In a recent article [Phys. Rev. A 94, 052128 (2016)], the authors compute the predictions of two collapse models on the transition probabilities of neutral mesons. Notably, they claim to find an influence on the decay rates and attempt to…
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…
Motivated by the hypothesis that financial crashes are macroscopic examples of critical phenomena associated with a discrete scaling symmetry, we reconsider the evidence of log-periodic precursors to financial crashes and test the…
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…
We study a concept of evasion and prediction associated with slaloms, called slalom prediction. This article collects ZFC-provable properties on the slalom prediction.
Corrigendum : An inverse problem in corrosion detection:stability estimates, J. Inv. Ill-posed Problems 12 (4) (2004), 349-367.
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.…
We call attention against what seems to a widely held misconception according to which large crashes are the largest events of distributions of price variations with fat tails. We demonstrate on the Dow Jones Industrial index that with high…
Extreme events, such as rogue waves, earthquakes and stock market crashes, occur spontaneously in many dynamical systems. Because of their usually adverse consequences, quantification, prediction and mitigation of extreme events are highly…
Comment on "Revision of Bubble Bursting: Universal Scaling Laws of Top Jet Drop Size and Speed"
Comment on ``Boosting Algorithms: Regularization, Prediction and Model Fitting'' [arXiv:0804.2752]
Comment on the paper P. E. Jonsson, H. Yoshino, and P. Nordblad, Phys. Rev. Lett. 89, 097201 (2002), also cond-mat/0203444.
We study a rational expectation model of bubbles and crashes. The model has two components : (1) our key assumption is that a crash may be caused by local self-reinforcing imitation between noise traders. If the tendency for noise traders…
We investigate and defend the possibility of causing a stock market crash via small manipulations of individual stock values that together realize an adversarial example to financial forecasting models, causing these models to make the…
Three comments on a recent paper entitled ``Macroscopic surface charges from microscopic simulations'' [J. Chem. Phys. 153, 164709 (2020)]