Related papers: Scale-free avalanche dynamics in the stock market
Temporal autocorrelation functions for avalanches in the Bak-Sneppen model display aging behavior similar to glassy systems. Numerical simulations show that they decay as power laws with two distinct regimes separated by a time scale which…
The notions of self-organised criticality (SOC) and turbulence are traditionally considered to be applicable to disjoint classes of phenomena. Nevertheless, scale-free burst statistics is a feature shared by turbulent as well as…
We study by theoretical analysis and by direct numerical simulation the dynamics of a wide class of asynchronous stochastic systems composed of many autocatalytic degrees of freedom. We describe the generic emergence of truncated power laws…
We apply a recently developed wavelet based approach to characterize the correlation and scaling properties of non-stationary financial time series. This approach is local in nature and it makes use of wavelets from the Daubechies family…
For both investors and policymakers, forecasting the stock market is essential as it serves as an indicator of economic well-being. To this end, we harness the power of social media data, a rich source of public sentiment, to enhance the…
An interbank market lets participants pool the risk arising from the combination of illiquid investments and random withdrawals by depositors. But it also creates the potential for one bank's failure to trigger off avalanches of further…
In this study we aim for a deeper understanding of the power law slope, $\alpha$, of waiting time distributions. Statistically independent events with linear behavior can be characterized by binomial, Gaussian, exponential, or Poissonian…
This paper presents an exclusive classification of the largest crashes in Dow Jones Industrial Average (DJIA), SP500 and NASDAQ in the past century. Crashes are objectively defined as the top-rank filtered drawdowns (loss from the last…
We study the relaxation dynamics of a financial market just after the occurrence of a crash by investigating the number of times the absolute value of an index return is exceeding a given threshold value. We show that the empirical…
Critical states are sometimes identified experimentally through power-law statistics or universal scaling functions. We show here that such features naturally emerge from networks in self-sustained irregular regimes away from criticality.…
In many important systems exhibiting crackling noise --- intermittent avalanche-like relaxation response with power-law and, thus, self-similar distributed event sizes --- the "laws" for the rate of activity after large events are not…
This paper presents experimental evidence and theoretical models supporting that dry friction stick-slip is described by self-organized criticality. We use the data, obtained with a pin-on-disc tribometer set to measure lateral force to…
We present a novel microscopic stock market model consisting of a large number of random agents modeling traders in a market. Each agent is characterized by a set of parameters that serve to make iterated predictions of two successive…
The self-organized critical state is characterized by a power law distribution of cluster sizes and other properties. However experiments with sand and rice piles reveal distributions of avalanche sizes which are not power law distributed.…
The investigations of financial markets from a complex network perspective have unveiled many phenomenological properties, in which the majority of these studies map the financial markets into one complex network. In this work, we…
This paper investigates the optimal selection of portfolios for power utility maximizing investors in a financial market where stock returns depend on a hidden Gaussian mean reverting drift process. Information on the drift is obtained from…
Continuous periodogram power spectral analysis of daily incidence of acute myocardial infarction (AMI) reported at a leading hospital for cardiology in Pune, India for the two-year period June 1992 to May 1994 show that the power spectra…
Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…
A control scheme to reduce the size of avalanches of the Bak-Tang-Wiesenfeld model on complex networks is proposed. Three network types are considered: those proposed by Erd\H{o}s-Renyi, Goh-Kahng-Kim, and a real network representing the…
We study the distribution of fluctuations over a time scale $\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the…