Related papers: Are Financial Crashes Predictable?
We investigate and defend the possibility of causing a stock market crash via small manipulations of individual stock values that together realize an adversarial example to financial forecasting models, causing these models to make the…
The methods of statistical physics of open systems are used for describing the time dependence of economic characteristics (income, profit, cost, supply, currency etc.) and their correlations with each other. Nonlinear equations (analogies…
Software maintenance faces a persistent challenge with crash bugs, especially across diverse release channels catering to distinct user bases. Nightly builds, favoured by enthusiasts, often reveal crashes that are cheaper to fix but may…
We calculate the realized volatility in the spin model of financial markets and examine the returns standardized by the realized volatility. We find that moments of the standardized returns agree with the theoretical values of standard…
Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose center is given by a moving average of past price traces…
Prices of commodities or assets produce what is called time-series. Different kinds of financial time-series have been recorded and studied for decades. Nowadays, all transactions on a financial market are recorded, leading to a huge amount…
We suggest employing log-ergodic processes to simulate the velocity of money in an ergodic manner. Our approach sheds light on economic behavior, policy implications, and financial dynamics by maintaining long-term stability. By bridging…
The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is…
Bifurcations can cause dynamical systems with slowly varying parameters to transition to far-away attractors. The terms ``critical transition'' or ``tipping point'' have been used to describe this situation. Critical transitions have been…
It is a common belief that power-law distributed avalanches are inherently unpredictable. This idea affects phenomena as diverse as evolution, earthquakes, superconducting vortices, stock markets, etc; from atomic to social scales. It…
The autocorrelation function of volatility in financial time series is fitted well by a superposition of several exponents. Such a case admits an explicit analytical solution of the problem of constructing the best linear forecast of a…
Although classical economic theory is based on the concept of stable equilibrium, real economic systems appear to be always out of equilibrium. Indeed, they share many of the dynamical features of other complex systems, e.g., ecological…
Norms of Persistent Homology introduced in topological data analysis are seen as indicators of system instability, analogous to the changing predictability that is captured in financial market uncertainty indexes. This paper demonstrates…
Reasoning about unpredicted change consists in explaining observations by events; we propose here an approach for explaining time-stamped observations by surprises, which are simple events consisting in the change of the truth value of a…
Early warning signals have been proposed to forecast the possibility of a critical transition, such as the eutrophication of a lake, the collapse of a coral reef, or the end of a glacial period. Because such transitions often unfold on…
Financial crises emerge when structural vulnerabilities accumulate across sectors, markets, and investor behavior. Predicting these systemic transitions is challenging because they arise from evolving interactions between market…
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…
With the rise of computing and artificial intelligence, advanced modeling and forecasting has been applied to High Frequency markets. A crucial element of solid production modeling though relies on the investigation of data distributions…
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…
``Self-Organised Criticality'' (SOC) is the mechanism by which complex systems spontaneously settle close to a *critical point*, at the edge between stability and chaos, and characterized by fat-tailed fluctuations and long-memory…