相关论文: The Financial Bubble Experiment: Advanced Diagnost…
This paper introduces a new approach for bubble detection based on mixed causal and noncausal autoregressive processes and their tail process representation during an explosive episode. Departing from traditional definitions of bubbles as…
In a recent article [Nature 421, 130 (2003)], Plerou, Gopikrishnan and Stanley report some evidence for an intriguing two-phase behavior of financial markets when studying the distribution of volume imbalance conditional to the local…
Many two-phase materials suffer from grain-growth due to the energy cost which is associated with the interface that separates both phases. While our understanding of the driving forces and the dynamics of grain growth in different…
In the picture of eternal inflation as driven by a scalar potential with multiple minima, our observable universe resides inside one of many bubbles formed from transitions out of a false vacuum. These bubbles necessarily collide, upsetting…
Key features of the mechanical response of amorphous particulate materials, such as foams, emulsions, and granular media, to applied stress are determined by the frequency and size of particle rearrangements that occur as the system…
Traces of 2-3 Myr old 60Fe were recently discovered in a manganese crust and in lunar samples. We have found that this signal is extended in time and is present in globally distributed deep-sea archives. A second 6.5-8.7 Myr old signature…
We show that infinite divisibility of a trading commodity leads to a self-sustained price bubble when traders use adaptive investment strategies. The adaptive strategy can be viewed as a psychological response of a trader to the situation…
We study asset price bubbles in market models with proportional transaction costs $\lambda\in (0,1)$ and finite time horizon $T$ in the setting of [49]. By following [28], we define the fundamental value $F$ of a risky asset $S$ as the…
We propose a reduced form set of two coupled continuous time equations linking the price of a representative asset and the price of a bond, the later quantifying the cost of borrowing. The feedbacks between asset prices and bonds are…
We present preliminary results for IceCat-2, the second public catalog of IceCube Alert Tracks, which plans to build and improve upon the first release, IceCat-1. The initial catalog, last updated in October 2023, included all real-time…
Turbulent puffs are ubiquitous in everyday life phenomena. Understanding their dynamics is important in a variety of situations ranging from industrial processes to pure and applied science. In all these fields, a deep knowledge of the…
We compute the probability distribution for bubble collisions in an inflating false vacuum which decays by bubble nucleation. Our analysis generalizes previous work of Guth, Garriga, and Vilenkin to the case of general cosmological…
We analyze the quarterly average sale prices of new houses sold in the USA as a whole, in the northeast, midwest, south, and west of the USA, in each of the 50 states and the District of Columbia of the USA, to determine whether they have…
We have analyzed the risks of possible development of bubbles in the Swiss residential real estate market. The data employed in this work has been collected by comparis.ch, and carefully cleaned from duplicate records through a procedure…
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes…
Financial statement fraud detection is an important problem with a number of design aspects to consider. Issues such as (i) problem representation, (ii) feature selection, and (iii) choice of performance metrics all influence the perceived…
Factorial moments are convenient tools in nuclear physics to characterize the multiplicity distributions when phase-space resolution ($\Delta$) becomes small. For uncorrelated particle production within $\Delta$, Gaussian statistics holds…
Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization of randomly varying volatility. The recent book Fouque, Papanicolaou, Sircar…
A new method to generate gummy fingers is presented. A medium-size fake fingerprint database is described and two different fingerprint verification systems are evaluated on it. Three different scenarios are considered in the experiments,…
We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large number of parameters. We apply the general approach to the…