Related papers: Recurrence Plot and Recurrence Quantification Anal…
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…
The question whether a time series behaves as a random walk or as a station- ary process is an important and delicate problem, particularly arising in financial statistics, econometrics, and engineering. This paper studies the problem to…
Housing markets play a crucial role in economies and the collapse of a real-estate bubble usually destabilizes the financial system and causes economic recessions. We investigate the systemic risk and spatiotemporal dynamics of the US…
Predicting the occurrence of tail events is of great importance in financial risk management. By employing the method of peak-over-threshold (POT) to identify the financial extremes, we perform a recurrence interval analysis (RIA) on these…
Detailed study of multifractal characteristics of the financial time series of asset values and of its returns is performed using a collection of the high frequency Deutsche Aktienindex data. The tail index ($\alpha$), the Renyi exponents…
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…
Power spectrum densities for the number of tick quotes per minute (market activity) on three currency markets (USD/JPY, EUR/USD, and JPY/EUR) for periods from January 1999 to December 2000 are analyzed. We find some peaks on the power…
Recurrence plots exhibit line structures which represent typical behaviour of the investigated system. The local slope of these line structures is connected with a specific transformation of the time scales of different segments of the…
This paper provides a methodology for fast and accurate pricing of the long-dated contracts that arise as the building blocks of insurance and pension fund agreements. It applies the recursive marginal quantization (RMQ) and joint recursive…
Monitoring economic conditions and financial stability with an early warning system serves as a prevention mechanism for unexpected economic events. In this paper, we investigate the statistical performance of sequential break-point…
We propose a straightforward extension of our previously proposed log-periodic power law model of the ``anti-bubble'' regime of the USA market since the summer of 2000, in terms of the renormalization group framework to model critical…
We fill a void in merging empirical and phenomenological characterisation of the dynamical phase transitions in complex systems by identifying three of them on real-life financial markets. We extract and interpret the empirical, numerical,…
To analyze complex and heterogeneous real-time embedded systems, recent works have proposed interface techniques between real-time calculus (RTC) and timed automata (TA), in order to take advantage of the strengths of each technique for…
To analyze complex and heterogeneous real-time embedded systems, recent works have proposed interface techniques between real-time calculus (RTC) and timed automata (TA), in order to take advantage of the strengths of each technique for…
We clarify the status of log-periodicity associated with speculative bubbles preceding financial crashes. In particular, we address Feigenbaum's [2001] criticism and show how it can be rebuked. Feigenbaum's main result is as follows: ``the…
In this paper, we introduce the notion of recurrence entropy in the context of nonlinear control systems. A set is said to be ($\tau$-)recurrent if every trajectory that starts in the set returns to it (within at most $\tau$ units of time).…
Principal Component Analysis (PCA) is the most common nonparametric method for estimating the volatility structure of Gaussian interest rate models. One major difficulty in the estimation of these models is the fact that forward rate curves…
Electricity price forecasts play a crucial role in making key business decisions within the electricity markets. A focal point in this domain are probabilistic predictions, which delineate future price values in a more comprehensive manner…
We propose a sequential monitoring scheme to find structural breaks in real estate markets. The changes in the real estate prices are modeled by a combination of linear and autoregressive terms. The monitoring scheme is based on a detector…
A major impact of globalization has been the information flow across the financial markets rendering them vulnerable to financial contagion. Research has focused on network analysis techniques to understand the extent and nature of such…