Related papers: The US 2000-2003 Market Descent: Clarifications
We make an extensive numerical study of a two dimensional nonconservative model proposed by Olami-Feder-Christensen to describe earthquake behavior. By analyzing the distribution of earthquake sizes using a multiscaling method, we find…
The Nasdaq Composite fell another $\approx 10 %$ on Friday the 14'th of April 2000 signaling the end of a remarkable speculative high-tech bubble starting in spring 1997. The closing of the Nasdaq Composite at 3321 corresponds to a total…
We exploit a recent computational framework to model and detect financial crises in stock markets, as well as shock events in cryptocurrency markets, which are characterized by a sudden or severe drop in prices. Our method manages to detect…
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenomena driven by psychological factors (for…
We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated…
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…
We present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the…
We present an analysis of the time behavior of the $S\&P500$ (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and…
Methodology that recently lead us to predict to an amazing accuracy the date (July 11, 2008) of reverse of the oil price up trend is briefly summarized and some further aspects of the related oil price dynamics elaborated. This methodology…
The goal of this investigation was to overcome limitations of a persistency analysis, introduced by Benoit Mandelbrot for fractal Brownian processes: nondifferentiability, Brownian nature of process and a linear memory measure. We have…
We verify the critical case $p=p_0(n)$ of Strauss' conjecture (1981) concerning the blow-up of solutions to semilinear wave equations with variable coefficients in $\mathbf{R}^n$, where $n\geq 2$. The perturbations of Laplace operator are…
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such…
A hypothesis that the financial log-periodicity, cascading self-similarity through various time scales, carries signatures of a law is pursued. It is shown that the most significant historical financial events can be classified amazingly…
Financial bubbles and crashes have repeatedly caused economic turmoil notably but not only during the 2008 financial crisis. However, both in the popular press as well as scientific publications, the meaning of bubble is sometimes…
We analyze the linear response of a market network to shocks based on the bipartite market model we introduced in an earlier paper, which we claimed to be able to identify the time-line of the 2009-2011 Eurozone crisis correctly. We show…
The substantial turmoil created by both 2000 dot-com crash and 2008 subprime crisis has fueled the belief that the two classical paradigms of economics, which are the invisible hand and the rational agent, are not appropriate to describe…
Recurrence Plot (RP) and Recurrence Quantification Analysis RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a…
Comment on R. Planet, S. Santucci, J. Ortin, Phys. Rev. Lett. 102, 094502 (2009) about the rescaling of the data and the data collapse. Reply to be found here.
In a recent article [Nature 421, 130 (2003)], Plerou, Gopikrishnan and Stanley report some evidence for an intriguing two-phase behavior of financial markets when studying the distribution of volume imbalance conditional to the local…
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led…