相关论文: Quantitative law describing market dynamics before…

The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been…

We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a peak that exceeds a predetermined…

The inverse Omori law for foreshocks discovered in the 1970s states that the rate of earthquakes prior to a mainshock increases on average as a power law ~ 1/(t_c-t)^p' of the time to the mainshock occurring at t_c. Here, we show that this…

According to the Omori-Utsu law, the rate of aftershocks after a mainshock decays as a power law with an exponent close to 1. This well-established law was intensively used in the past to study and model the statistical properties of…

The dynamical behavior of the currency exchange rate after its large-scale catastrophe is discussed through a case study of the rate of Russian rubles to US dollars after its crash in 2014. It is shown that, similarly to the case of the…

We analyze the memory in volatility by studying volatility return intervals, defined as the time between two consecutive fluctuations larger than a given threshold, in time periods following stock market crashes. Such an aftercrash period…

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…

The emergence of a power-law distribution for the energy released during an earthquake is investigated in several models. Generic features are identified which are based on the self-affine behavior of the stress field prior to an event.…

The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main…

This paper quantifies the international spillovers of US monetary policy by exploiting the high-frequency movement of multiple financial assets around FOMC announcements. I use the identification strategy introduced by Jarocinski & Karadi…

Sequences of aftershocks following Omori's empirical law are observed after most major earthquakes, as well as in laboratory-scale fault-mimicking experiments. Nevertheless, the origin of this memory effect is still unclear. In this letter,…

Mainshocks are often followed by increased earthquake activity (aftershocks). According to the Omori-Utsu law, the rate of aftershocks decays as a power law over time. While aftershocks typically occur in the vicinity of the mainshock,…

We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized in terms of the exceedances over a given threshold. This…

This paper quantifies the international spillovers of US interest rates by explicitly controlling for the "Fed Information Effect". I use multiple identification strategies that identify two components of monetary policy surprises around…

Together with the Gutenberg-Richter distribution of earthquake magnitudes, Omori's law is the best established empirical characterization of earthquake sequences and states that the number of smaller earthquakes per unit time triggered by a…

The decay rate of aftershocks has been modeled as a power law since the pioneering work of Omori in the late nineteenth century. Considered the second most fundamental empirical law after the Gutenberg-Richter relationship, the power law…

The Omori-Utsu law shows the temporal power-law-like decrease of the frequency of earthquake aftershocks and, interestingly, is found in a variety of complex systems/phenomena exhibiting catastrophes. Now, it may be interpreted as a…

After a large earthquake, the likelihood of successive strong aftershocks needs to be estimated. Exploiting similarities with critical phenomena, we introduce a scaling law for the decay in time following a main shock of the expected number…

The Internet is a complex system, whose temporal behavior is highly nonstationary and exhibits sudden drastic changes regarded as main shocks or catastrophes. Here, analyzing a set of time series data of round-trip tim measured in echo…

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…