Related papers: Crashes as Critical Points
A probabilistic model describes a system in its observational state. In many situations, however, we are interested in the system's response under interventions. The class of structural causal models provides a language that allows us to…
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…
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…
In a three state kinetic exchange opinion formation model, the effect of extreme switches was considered in a recent paper. In the present work, we study the same model with disorder. Here disorder implies that negative interactions may…
We show that large, slowly driven systems can evolve to a self-organized critical state where long range temporal correlations between bursts or avalanches produce low frequency $1/f^{\alpha}$ noise. The avalanches can occur instantaneously…
We propose that catastrophic events are "outliers" with statistically different properties than the rest of the population and result from mechanisms involving amplifying critical cascades. Applications and the potential for prediction are…
Critical transitions occur in a wide variety of applications including mathematical biology, climate change, human physiology and economics. Therefore it is highly desirable to find early-warning signs. We show that it is possible to…
Several simulation environments exist for the simulation of large-scale evacuations of buildings, ships, or other enclosed spaces. These offer sophisticated tools for the study of human behaviour, the recreation of environmental factors…
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods…
In the General Theory, Keynes remarked that the economy's state depends on expectations, and that these expectations can be subject to sudden swings. In this work, we develop a multiple equilibria behavioural business cycle model that can…
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each…
Traffic flow oscillations, including traffic waves, are a common yet incompletely understood feature of congested traffic. Possible mechanisms include traffic flow instabilities, indifference regions or finite human perception thresholds…
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…
We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices…
We apply the Hurst exponent idea for investigation of DJIA index time-series data. The behavior of the local Hurst exponent prior to drastic changes in financial series signal is analyzed. The optimal length of the time-window over which…
In this short note we discuss recent attempts to describe pre-crash market dynamics with analogies from theory of critical phenomena.
In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extreme Events in stock market data. In contrast to popular…
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…
We introduce a mathematical model on the dynamics of demand and supply incorporating collectability and saturation factors. Our analysis shows that when the fluctuation of the determinants of demand and supply is strong enough, there is…
Traffic safety science has long been hindered by a fundamental data paradox: the crashes we most wish to prevent are precisely those events we rarely observe. Existing crash-frequency models and surrogate safety metrics rely heavily on…