Related papers: The US 2000-2003 Market Descent: Clarifications
A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure. In such markets, many standard results from option pricing theory do not hold, and in…
We explore an analytic model of the accretion shock in the post bounce phase of a core-collapse supernova explosion. We find growing oscillations of the shock in the l=1 and l=2 modes, in agreement with a variety of existing numerical…
We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fractional Brownian motion as well as non-linear stochastic…
This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an…
A brief review of the confrontation between black hole physics and quantum-mechanical unitarity is presented. Possibile reconciliations are modifying the laws of physics to allow fundamental loss of information, escape of information during…
We show, via explicit computation on a constrained bosonic model, that the presence of subsystem symmetries can lead to a quantum phase transition (QPT) where the critical point exhibits an emergent enhanced symmetry. Such a transition…
During a stock market peak the price of a given stock ($ i $) jumps from an initial level $ p_1(i) $ to a peak level $ p_2(i) $ before falling back to a bottom level $ p_3(i) $. The ratios $ A(i) = p_2(i)/p_1(i) $ and $ B(i)= p_3(i)/p_1(i)…
In this paper, I revisit Phillips, Wu and Yu's seminal 2011 paper on testing for the dot-com bubble. I apply recent advancements of their methods to individual Nasdaq stocks and use a novel specification for fundamentals. To address a…
Sharp changes in time series representing market dynamics are studied by means of the self--similar analysis suggested earlier by the authors. These sharp changes are market booms and crashes. Such crises phenomena in markets are analogous…
This article provides a self-contained overview of the theory of rational asset price bubbles. We cover topics from basic definitions, properties, and classical results to frontier research, with an emphasis on bubbles attached to real…
During any unique crisis, panic sell-off leads to a massive stock market crash that may continue for more than a day, termed as mainshock. The effect of a mainshock in the form of aftershocks can be felt throughout the recovery phase of…
This essay suggests that a proper assessment of the presently unfolding financial crisis, and its cure, requires going back at least to the late 1990s, accounting for the cumulative effect of the ITC, real-estate and financial derivative…
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…
This thesis deals with critical collapse of a massless scalar field coupled to Einstein's equations in spherical symmetry. The system is numerically investigated from both global and local points of view using a characteristic slicing and…
The question of finite time singularity formation vs. global existence for solutions to the generalized Constantin-Lax-Majda equation is studied, with particular emphasis on the influence of a parameter $a$ which controls the strength of…
In cond-mat/0002074 Ricci-Tersenghi et al. find two linear regimes in the fluctuation-dissipation relation between density-density correlations and associated responses of the Frustrated Ising Lattice Gas. Here we show that this result does…
Detailed analysis of the log-periodic structures as precursors of the financial crashes is presented. The study is mainly based on the German Stock Index (DAX) variation over the 1998 period which includes both, a spectacular boom and a…
We introduce a mathematical criterion defining the bubbles or the crashes in financial market price fluctuations by considering exponential fitting of the given data. By applying this criterion we can automatically extract the periods in…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
Catastrophic events, though rare, do occur and when they occur, they have devastating effects. It is, therefore, of utmost importance to understand the complexity of the underlying dynamics and signatures of catastrophic events, such as…