Related papers: A Precursor of Market Crashes
Renowned method of log-periodic power law(LPPL) is one of the few ways that a financial market crash could be predicted. Alongside with LPPL, this paper propose a novel method of stock market crash using white box model derived from simple…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 stocks listed on the Shanghai and Shenzhen stock exchanges.…
We study a rational expectation model of bubbles and crashes. The model has two components : (1) our key assumption is that a crash may be caused by local self-reinforcing imitation between noise traders. If the tendency for noise traders…
We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by…
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and the standard deviation of the ensemble daily price returns of…
We propose a straightforward extension of our previously proposed log-periodic power law model of the ``anti-bubble'' regime of the USA market since the summer of 2000, in terms of the renormalization group framework to model critical…
Catastrophic events, though rare, do occur and when they occur, they have devastating effects. It is, therefore, of utmost importance to understand the complexity of the underlying dynamics and signatures of catastrophic events, such as…
Amid the current financial crisis, there has been one equity index beating all others: the Shanghai Composite. Our analysis of this main Chinese equity index shows clear signatures of a bubble build up and we go on to predict its most…
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenomena driven by psychological factors (for…
We study the rank distribution, the cumulative probability, and the probability density of returns of stock prices of listed firms traded in four stock markets. We find that the rank distribution and the cumulative probability of stock…
The total value of domestic market capitalization of the Mexican Stock Exchange was calculated at 520 billion of dollars by the end of November 2013. To manage this system and make optimum capital investments, its dynamics needs to be…
Stock prices are observed to be random walks in time despite a strong, long term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these correlations are compensated by opposite long ranged…
We consider uncorrelated Stein-Stein, Heston, and Hull-White models and their perturbations by compound Poisson processes with jump amplitudes distributed according to a double exponential law. Similar perturbations of the Black-Scholes…
We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, ``bounded rationality'' and a probabilistic description. We also…
Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively…
During a speculative episode the price of an item jumps from an initial level p_1 to a peak level p_2 before more or less returning to level p_1. The ratio p_2/p_1 is referred to as the amplitude A of the peak. This paper shows that for a…
We develop a strong diagnostic for bubbles and crashes in bitcoin, by analyzing the coincidence (and its absence) of fundamental and technical indicators. Using a generalized Metcalfe's law based on network properties, a fundamental value…
We statistically investigate the distribution of share price and the distributions of three common financial indicators using data from approximately 8,000 companies publicly listed worldwide for the period 2004-2013. We find that the…