Related papers: The US 2000-2003 Market Descent: Clarifications
We solve the Gross-Pitaevskii equation numerically for the collapse induced by a switch from positive to negative scattering lengths. We compare our results with experiments performed at JILA with Bose-Einstein condensates of Rb-85, in…
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…
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…
In this study, we extend the three-regime bubble model of Pang et al. (2021) to allow the forth regime followed by the unit root process after recovery. We provide the asymptotic and finite sample justification of the consistency of the…
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.…
This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily…
The hypothesis of critical failure relates the presence of an ultimate stability point in the structural constitutive equation of materials to a divergence of characteristic scales in the microscopic dynamics responsible for deformation.…
In a general way, stock and bond prices do not display any significant correlation. Yet, if we concentrate our attention on specific episodes marked by a crash followed by a rebound, then we observe that stock prices have a strong…
In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…
Is the present economic and financial crisis similar to some previous one? It would be so nice to prove that universality laws exist for predicting such rare events under a minimum set of realistic hypotheses. First, I briefly recall…
We consider a financial market with zero-coupon bonds that are exposed to credit and liquidity risk. We revisit the famous Jarrow & Turnbull setting in order to account for these two intricately intertwined risk types. We utilise the…
The price-bubble and crash process formation is theoretically investigated in a two-asset equilibrium model. Sufficient and necessary conditions are derived for the existence of average equilibrium price dynamics of different agent-based…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
We introduce a new diffusion process Xt to describe asset prices within an economic bubble cycle. The main feature of the process, which differs from existing models, is the drift term where a mean-reversion is taken based on an exponential…
The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain…
In this paper, we present the possibility of using the Ising like models to explain by Statistical Physics means the connection between the financial discontinuities (herd behavior, bubbles, crashes) and "critical points" in physical of…
In this paper we contrast the dynamics of the 2022 Ukraine invasion financial crisis with notable financial crises of the 21st century - the dot-com bubble, global financial crisis and COVID-19. We study the similarity in market dynamics…
We propose a picture of stock market crashes as critical points in a hierachical system with discrete scaling. The critical exponent is then complex, leading to log-periodic fluctuations in stock market indexes. We present ``experimental''…
The presence of log-periodic structures before and after stock market crashes is considered to be an imprint of an intrinsic discrete scale invariance (DSI) in this complex system. The fractal framework of the theory leaves open the…
In this paper, we perform a comparative segmentation and clustering analysis of the time series for the ten Dow Jones US economic sector indices between 14 February 2000 and 31 August 2008. From the temporal distributions of clustered…