Related papers: Scale-free avalanche dynamics in the stock market
This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies' market capitalizations over time, in terms of inequality,…
Disordered solids respond to quasistatic shear with intermittent avalanches of plastic activity, an example of the crackling noise observed in many nonequilibrium critical systems. The temporal power spectrum of activity within disordered…
We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…
Hysteresis, the lag between the force and the response, is often associated with noisy, jerky motion which have recently been called ``avalanches''. The interesting question is why the avalanches come in such a variety of sizes: naively one…
The day-to day fluctuations of Dow Jones Index exhibit fractal fluctuations, namely, a zigzag pattern of successive increases followed by decreases on all space-time scales. Self-similar fractal fluctuations are generic to dynamical systems…
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…
Recently, the paradigm that the dynamic magnetosphere displays sandpile-type phenomenology has been advanced, in which energy dissipation is by means of avalanches which do not have an intrinsic scale. This may in turn imply that the system…
Scale-free dynamics in physical and biological systems can arise from a variety of causes. Here, we explore a branching process which leads to such dynamics. We find conditions for the appearance of power laws and study quantitatively what…
The train model which is a variant of the Burridge-Knopoff earthquake model is investigated for a velocity-strengthening friction law. It shows self-organized criticality with complex scaling exponents. That is, the probability density…
Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to…
The origin of self-organized criticality in a model without conservation law (Olami, Feder, and Christensen, Phys. Rev. Lett. {\bf 68}, 1244 (1992)) is studied. The homogeneous system with periodic boundary condition is found to be periodic…
The Olami--Feder--Christensen earthquake model is often considered the prototype dissipative self--organized critical model. It is shown that the size distribution of events in this model results from a complex interplay of several…
Martensites subjected to quasistatic deformation are known to exhibit power law distributed acoustic emission in a broad range of scales, however, the origin of the observed scaling behavior and the mechanism of self-organization towards…
It has long been argued that neural networks have to establish and maintain a certain intermediate level of activity in order to keep away from the regimes of chaos and silence. Strong evidence for criticality has been observed in terms of…
We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price changes. We analyze (a) the S&P 500 stock index for the…
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock market returns exhibit multi-fractal…
We introduce an external control to reduce the size of avalanches in some sandpile models exhibiting self organized criticality. This rather intuitive approach seems to be missing in the vast literature on such systems. The control action,…
Detailed analysis of the log-periodic structures as precursors of the financial crashes is presented. The study is mainly based on the German Stock Index (DAX) variation over the 1998 period which includes both, a spectacular boom and a…
Nonlinear dissipative systems in the state of self-organized criticality release energy sporadically in avalanches of all sizes, such as in earthquakes, auroral substorms, solar and stellar flares, soft gamma-ray repeaters, and pulsar…
The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the properties of stable Levy distributions and their applications…