Related papers: Are Financial Crashes Predictable?
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…
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with…
In the last two decades, a number of methods have been proposed for forecasting based on fuzzy time series. Most of the fuzzy time series methods are presented for forecasting of car road accidents. However, the forecasting accuracy rates…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
We study short-horizon forecasting in financial time series under strict causal constraints, treating the market as a non-stationary stochastic system in which any predictive observable must be computable online from information available…
Metastability is a phenomenon observed in stochastic systems which stay in a false-equilibrium within a region of its state space until the occurrence of a sequence of rare events that leads to an abrupt transition to a different region.…
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
Even the most regular stick-slip frictional sliding is always stochastic, with irregularity in both the intervals between slip events and the sizes of the associated stress drops. Applying small-amplitude oscillations to the shear force, we…
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent…
We present a general prediction scheme of failure times based on updating continuously with time the probability for failure of the global system, conditioned on the information revealed on the pre-existing idiosyncratic realization of the…
The critical relations for statistical properties on saddle-node bifurcations are shown to display undulating fine structure, in addition to their known smooth dependence on the control parameter. A piecewise linear map with the type-I…
Existence theory in economics is usually in real domains such as the findings of chaotic trajectories in models of economic growth, tatonnement, or overlapping generations models. Computational examples, however, sometimes converge rapidly…
Catastrophes of all kinds can be roughly defined as short duration-large amplitude events following and followed by long periods of "ripening". Major earthquakes surely belong to the class of 'catastrophic' events. Because of the space-time…
Why do banks fail? We create a panel covering most commercial banks from 1863 through 2024 to study the history of failing banks in the United States. Failing banks are characterized by rising asset losses, deteriorating solvency, and an…
Financial and economic history is strewn with bubbles and crashes, booms and busts, crises and upheavals of all sorts. Understanding the origin of these events is arguably one of the most important problems in economic theory. In this…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
It is widely speculated that auditors' public forecasts of bankruptcy are, at least in part, self-fulfilling prophecies in the sense that they might actually cause bankruptcies that would not have otherwise occurred. This conjecture is hard…
Many studies in economics deal with the non-reliability cost to assess insurance fees or investment analyses, but none takes into consideration the mechanical aspect of reliability analysis. Other studies in mechanics give some tools and…
Modelling financial time series as a time change of a simpler process has been proposed in various forms over the years. One of such recent approaches is called volatility homogenisation decomposition, and has been designed specifically to…