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Permutation approach is suggested as a method to investigate financial time series in micro scales. The method is used to see how high frequency trading in recent years has affected the micro patterns which may be seen in financial time…
Much research has been conducted arguing that tipping points at which complex systems experience phase transitions are difficult to identify. To test the existence of tipping points in financial markets, based on the alternating offer…
A model for economic behavior, under heterogeneous spatial economic conditions is developed. The role of selection pressure in a Bak-Sneppen-like dynamics with entity diffusion on a lattice is studied by Monte-Carlo simulation taking into…
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…
This paper employs Topological Data Analysis (TDA) to detect extreme events (EEs) in the stock market at a continental level. Previous approaches, which analyzed stock indices separately, could not detect EEs for multiple time series in one…
Topological data analysis has been acknowledged as one of the most successful mathematical data analytic methodologies in various fields including medicine, genetics, and image analysis. In this paper, we explore the potential of this…
The Bak--Sneppen model is a simple stochastic model of evolution that exhibits self-organized criticality and for which few analytical results have been established. In the original Bak-Sneppen model and many subsequent variants,…
Recurrence Plot (RP) and Recurrence Quantification Analysis (RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a…
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure…
A new quantity, average fitness, is introduced in Bak-Sneppen evolution model. Through this new quantity, a new hierarchy of avalanches is observed in the evolution of Bak-Sneppen model. An exact gap equation, governing the…
In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…
While Large Language Models have been used to produce interpretable stock forecasts, they mainly focus on analyzing textual reports but not historical price data, also known as Technical Analysis. This task is challenging as it switches…
Topological Data Analysis (TDA) is the collection of mathematical tools that capture the structure of shapes in data. Despite computational topology and computational geometry, the utilization of TDA in time series and signal processing is…
Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of the possible patterns characterizing the…
Financial markets are difficult to predict due to its complex systems dynamics. Although there have been some recent studies that use machine learning techniques for financial markets prediction, they do not offer satisfactory performance…
In a recent Letter [Phys. Rev. Lett. 79, 889 (1997) and cond-mat/9702054] we have demonstrated that the avalanches in the Bak-Sneppen model display aging behavior similar to glassy systems. Numerical results for temporal correlations show a…
Developing methods for detecting tipping phenomena at an early stage is an important problem in various fields such as ecology, medicine, and economics. A tipping phenomenon is characterized by a rapid transition resulting from the…
Monitoring downside risk and upside risk to the key macroeconomic indicators is critical for effective policymaking aimed at maintaining economic stability. In this paper I propose a parametric framework for modelling and forecasting…
We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…
Frequentist statistical methods, such as hypothesis testing, are standard practice in papers that provide benchmark comparisons. Unfortunately, these methods have often been misused, e.g., without testing for their statistical test…