Related papers: Scale-free avalanche dynamics in the stock market
We introduce a toy model displaying the avalanche dynamics of failure in scale-free networks. In the model, the network growth is based on the Barab\'asi and Albert model and each node is assigned a capacity or tolerance, which is constant…
We analyse the structure of the distribution of eigenvalues of the stock market correlation matrix with increasing length of the time series representing the price changes. We use 100 highly-capitalized stocks from the American market and…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
In this study, we utilize the Kalman-Filter analysis to assess market efficiency in major stock markets. The Kalman-Filter operates in two stages, assuming that the data contains a consistent trendline representing the true market value…
Recent investigations have provided important insights into the complex structure and dynamics of collectively moving flocks of living organisms. Two intriguing observations are, scale-free correlations in the velocity fluctuations, in the…
In this paper, we consider a simplified model of turbulence for large Reynolds numbers driven by a constant power energy input on large scales. In the statistical stationary regime, the behaviour of the kinetic energy is characterised by…
Several authors have noticed the signature of log-periodic oscillations prior to large stock market crashes [cond-mat/9509033, cond-mat/9510036, Vandewalle et al 1998]. Unfortunately good fits of the corresponding equation to stock market…
In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable…
The extraction of signals from noise is a common problem in all areas of science and engineering. A particularly useful version is that of forecasting: determining a causal filter that estimates a future value of a hidden process from past…
We present generic scaling laws relating spreading critical exponents and avalanche exponents (in the sense of self-organized criticality) in general systems with absorbing states. Using these scaling laws we present a collection of the…
The concept of "self-organized criticality" (SOC) has been introduced by Bak, Tang, and Wiesenfeld (1987) to describe the statistics of avalanches on the surface of a sandpile with a critical slope, which produces a scale-free powerlaw size…
We propose a kind of Bak-Sneppen dynamics as a general optimization technique to treat magnetic systems. The resulting dynamics shows self-organized criticality with power law scaling of the spatial and temporal correlations. An alternative…
Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using…
Keeping a basic tenet of economic theory, rational expectations, we model the nonlinear positive feedback between agents in the stock market as an interplay between nonlinearity and multiplicative noise. The derived hyperbolic stochastic…
We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We extend our previous renormalization group model of stock market prices prior to and after…
We present numerical evidence that in strong Alfvenic turbulence, the critical balance principle---equality of the nonlinear decorrelation and linear propagation times---is scale invariant, in the sense that the probability distribution of…
Based on empirical financial time-series, we show that the "silence-breaking" probability follows a super-universal power law: the probability of observing a large movement is inversely proportional to the length of the on-going…
We analyze the sequence of time intervals between consecutive stock trades of thirty companies representing eight sectors of the U. S. economy over a period of four years. For all companies we find that: (i) the probability density function…
It is a challenging task to identify the best possible models based on given empirical data of observed time series. Though the financial markets provide us with a vast amount of empirical data, the best model selection is still a big…
Scale-invariant neuronal avalanches have been observed in cell cultures and slices as well as anesthetized and awake brains, suggesting that the brain operates near criticality, i.e. within a narrow margin between avalanche propagation and…