Related papers: The US 2000-2003 Market Descent: Clarifications
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical tool and investigate analytically its link with stocks…
We consider a degenerate chemotaxis model with two-species and two-stimuli in dimension $d\geq 3$ and find two critical curves intersecting at one same point which separate the global existence and blow up of weak solutions to the problem.…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
Several models of stock trading [P. Bak et al, Physica A {\bf 246}, 430 (1997)] are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the…
A detailed re-examination of the seminal paper on special relativity, taking into account recent work on the physical interpretation of the space-time Lorentz transformation as well as the modern understanding of classical elecromagnetism…
We examine the out-of-equilibrium phase reported by Plerou {\it et. al.} in Nature, {\bf 421}, 130 (2003) using the data of the New York stock market (NYSE) between the years 2001 --2002. We find that the observed two phase phenomenon is an…
Low inflation was once a welcome to both policy makers and the public. However, Japan's experience during the 1990's changed the consensus view on price of economists and central banks around the world. Facing deflation and zero interest…
We present the clustering analysis of the financial markets of S&P 500 (USA) and Nikkei 225 (JPN) markets over a period of 2006-2019 as an example of a complex system. We investigate the statistical properties of correlation matrices…
We investigate conformally coupled quantum matter fields on spherically symmetric, continuously self-similar backgrounds. By exploiting the symmetry associated with the self-similarity the general structure of the renormalized quantum…
We report a numerical investigation of the Anderson transition in two-dimensional systems with spin-orbit coupling. An accurate estimate of the critical exponent $\nu$ for the divergence of the localization length in this universality class…
Under spherical symmetry, with double-null coordinates $(u,v)$, we study the gravitational collapse of the Einstein--scalar field system with a positive cosmological constant. The spacetime singularities arise when area radius $r$ vanishes…
We study a generic model for self-referential behaviour in financial markets, where agents attempt to use some (possibly fictitious) causal correlations between a certain quantitative information and the price itself. This correlation is…
The recent "correlation breakdown" in the modeling of credit default swaps, in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and argued to be a fundamental market…
Being able to reliably track perturbations across bounces and turnarounds in cyclic and bouncing cosmology lies at the heart of being able to compare the predictions of these models with the Cosmic Microwave Background observations. This…
The minute fluctuations of of S&P 500 and NASDAQ 100 indices display Boltzmann statistics over a wide range of positive as well as negative returns, thus allowing us to define a {\em market temperature} for either sign. With increasing time…
Modifications of the Cont-Bouchaud percolation model for price fluctuations give an asymmetry for time-reversal, an asymmetry between high and low prices, volatility clustering, effective multifractality, correlations between volatility and…
We revisit the classic paper of Tirole "Asset Bubbles and Overlapping Generations" (1985, Econometrica), which shows that the emergence of asset bubbles solves the capital over-accumulation problem. While Tirole's main insight holds with…
A model for fault dynamics consisting of two rough and rigid brownian profiles that slide one over the other is introduced. An earthquake occurs when there is an intersection between the two profiles. The energy release is proportional to…
These notes discuss several topics in neoclassical economics and alternatives, with an aim of reviewing fundamental issues in modeling economic markets. I start with a brief, non-rigorous summary of the basic Arrow-Debreu model of general…
When a corrosive solution reaches the limits of a solid sample, a chemical fracture occurs. An analytical theory for the probability of this chemical fracture is proposed and confirmed by extensive numerical experiments on a two dimensional…