Related papers: The US 2000-2003 Market Descent: Clarifications
In these notes we prepare the ground for a systematic investigation into the issues of black hole fluctuations and backreaction by discussing the formulation of the problem, commenting on possible advantages and shortcomings of existing…
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…
We show that the comment [cond-mat/0408217] by Continentino on our recent paper [PRL 91, 066404 (2003), cond-mat/0212335] reaches incorrect conclusions as the comment wrongly extrapolates from results valid close to a classical phase…
Financial markets across all asset classes are known to exhibit trends. These trends have been exploited by traders for decades. Here, we empirically measure when trends revert, based on 30 years of daily futures prices for equity indices,…
In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between…
Starting on February 20, 2020, the global stock markets began to suffer the worst decline since the Great Recession in 2008, and the COVID-19 has been widely blamed on the stock market crashes. In this study, we applied the log-periodic…
We critically review recent claims that financial crashes can be predicted using the idea of log-periodic oscillations or by other methods inspired by the physics of critical phenomena. In particular, the October 1997 `correction' does not…
We compare two models of corporate default by calculating the Jeffreys-Kullback-Leibler divergence between their predicted default probabilities when asset correlations are either high or low. Our main results show that the divergence…
We reinvestigate the "rockets and feathers" effect between retail gasoline and crude oil prices in a new framework of fractional integration, long-term memory and borderline (non-)stationarity. The most frequently used error-correction…
We study the problem of diffusing particles which coalesce upon contact. With the aid of a non-perturbative renormalization group, we first analyze the dynamics emerging below the critical dimension two, where strong fluctuations imply…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…
A nonlinear Landau-Zener model was proposed recently to describe, among a number of applications, the nonadiabatic transition of a Bose-Einstein condensate between Bloch bands. Numerical analysis revealed a striking phenomenon that…
We find prominent similarities in the features of the time series for the overlap of two Cantor sets when one set moves with uniform relative velocity over the other and time series of stock prices. An anticipation method for some of the…
The financial market is nonpredictable, as according to the Bachelier, the mathematical expectation of the speculator is zero. Nevertheless, we observe in the price fluctuations the two distinct scales, short and long time. Behaviour of a…
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with…
In this study, we investigate asset price bubbles in a discrete-time, discrete-state market under model uncertainty and short sales prohibitions. Building on a new fundamental theorem of asset pricing and a superhedging duality in this…
In this paper, we quantitatively investigate the statistical properties of a statistical ensemble of stock prices. We selected 1200 stocks traded on the Tokyo Stock Exchange, and formed a statistical ensemble of daily stock prices for each…
We report a similarity of fluctuations in equilibrium critical phenomena and non-equilibrium systems, which is based on the concept of natural time. The world-wide seismicity as well as that of San Andreas fault system and Japan are…
In this paper, we investigate carefully the blow-up behaviour of sequences of solutions of some elliptic PDE in dimension two containing a nonlinearity with Trudinger-Moser growth. A quantification result had been obtained by the first…
In this paper, we provide a natural correspondence of eigenstructures of Jacobian matrices associated with equilibria for appropriately transformed two systems describing finite-time blow-ups for ODEs with quasi-homogeneity in an asymptotic…