Related papers: Critical Crashes
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…
The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To this end, we designed, implemented, and assessed a…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
Financial event studies, ubiquitous in finance research, typically use linear factor models with known factors to estimate abnormal returns and identify causal effects of information events. This paper demonstrates that when factor models…
This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent price changes and price levels, which two lead to a belief in…
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to investigate the outcomes of the log-periodic model…
Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical methods, one of which was recently…
We propose a set of dependence measures that are non-linear, local, invariant to a wide range of transformations on the marginals, can show tail and risk asymmetries, are always well-defined, are easy to estimate and can be used on any…
If we assume that earthquakes are chaotic, and influenced locally then chaos theory suggests that there should be a temporal association between earthquakes in a local region that should be revealed with statistical examination. To date no…
We revisit a simple dynamical model of rupture in random media with long-range elasticity to test whether rupture can be seen as a first-order or a critical transition. We find a clear scaling of the macroscopic modulus as a function of…
We introduce a novel approach to study the critical behavior of equilibrium and non-equilibrium systems which is based on the concept of an instantaneous correlation length. We analyze in detail two classical statistical mechanical systems:…
We have studied the collective behavior of a population of integrate-and-fire oscillators. We show that diversity, introduced in terms of a random distribution of natural periods, is the mechanism that permits to observe self-organized…
The sporadic large fluctuations are seen in the stock market due to changes in fundamental parameters, technical setups, and external factors. These large fluctuations are termed as Extreme Events (EE). The EEs may be positive or negative…
Extending the central concept of recurrence times for a point process to recurrent events in space-time allows us to characterize seismicity as a record breaking process using only spatiotemporal relations among events. Linking record…
Let a cluster be a term with a number of patterns occurring in it. We give two accounts of clusters, a geometric one as sets of (node and edge) positions, and an inductive one as pairs of terms with gaps (2nd order variables) and…
Seismicity and faulting within the Earth crust are characterized by many scaling laws that are usually interpreted as qualifying the existence of underlying physical mechanisms associated with some kind of criticality in the sense of phase…
In this paper, we develop a theory of market crashes resulting from a deleveraging shock. We consider two representative investors in a market holding different opinions about the public available information. The deleveraging shock forces…
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by…
A model of an evolving network of interacting molecular species is shown to exhibit repeated rounds of crashes in which several species get rapidly depopulated, followed by recoveries. The network inevitably self-organizes into an…
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…