Related papers: Large financial crashes
Cross-sectional signatures of market panic were recently discussed on daily time scales in [1], extended here to a study of cross-sectional properties of stocks on intra-day time scales. We confirm specific intra-day patterns of dispersion…
Scaling analysis reveals striking regularities in earthquake occurrence. The time between any one earthquake and that following it is random, but it is described by the same universal-probability distribution for any spatial region and…
Using the framework of factor models, we establish the general expression of the coefficient of tail dependence between the market and a stock (i.e., the probability that the stock incurs a large loss, assuming that the market has also…
Since August 2000, the stock market in the USA as well as most other western markets have depreciated almost in synchrony according to complex patterns of drops and local rebounds. In \cite{SZ02QF}, we have proposed to describe this…
We find prominent similarities in the features of the time series for the (model earthquakes or) overlap of two Cantor sets when one set moves with uniform relative velocity over the other and time series of stock prices. An anticipation…
We investigate the sequence of great earthquakes over the past century. To examine whether the earthquake record includes temporal clustering, we identify aftershocks and remove those from the record. We focus on the recurrence time,…
Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new methodology to test how this model classifies 9…
We study the Johansen-Ledoit-Sornette (JLS) model of financial market crashes (Johansen, Ledoit, and Sornette [2000] "Crashes as Critical Points." Int. J. Theor. Appl. Finan. 3(2) 219-255). On our view, the JLS model is a curious case from…
We define a financial bubble as a period of unsustainable growth, when the price of an asset increases ever more quickly, in a series of accelerating phases of corrections and rebounds. More technically, during a bubble phase, the price…
We compare correlations and coherent structures in nuclei and financial markets. In the nuclear physics part we review giant resonances which can be interpreted as a coherent structure embedded in chaos. With similar methods we investigate…
The study of heavy-tailed distributions in economic and financial systems has been widely addressed since financial time series has become a research subject.After the eighties, several "highly improbable" market drops were observed (e.g.…
A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
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…
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive…
We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are…
We analyze the interaction between stock prices of big companies in the USA and Germany using Granger Causality. We claim that the increase in pair-wise Granger causality interaction between prices in the times of crisis is the consequence…
The Stock Market is a complex self-interacting system, characterized by an intermittent behaviour. Periods of high activity alternate with periods of relative calm. In the present work we investigate empirically about the possibility that…