相关论文: Market dynamics immediately before and after finan…

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 behavior of U.S. markets both before and after U.S. Federal Open Market Committee (FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the…

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…

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…

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 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…

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…

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…

After the main shock of an earthquake, a stream of aftershocks that does not subside for a long time is usually observed. Fusakichi Omori found that the frequency of aftershocks decreases hyperbolically with time. It has recently been…

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…

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 decay rate of aftershocks is commonly very well described by the modified Omori law, $n(t) \propto t^{-p}$, where n(t) is the number of aftershocks per unit time, t is the time after the main shock, and p is a constant in the range…

Earthquakes are complex physical processes driven by the stick-slip motion of a sliding fault. After the main quake, a series of aftershocks typically follows. These are loosely defined as events that follow a given event and occur within…

The statistical properties of earthquake aftershocks are studied. The scaling relation for the exponents of the Omori law and the power-law calm time distribution (i.e., the interoccurrence time distribution), which is valid if a sequence…

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 empirical Bath's law is derived from the magnitude-difference statistical distribution of earthquake pairs. The pair distribution related to earthquake correlations is presented. The single-event distribution of dynamically correlated…

The model describing market dynamics after a large financial crash is considered in terms of the stochastic differential equation of Ito. Physically, the model presents an overdamped Brownian particle moving in the nonstationary…

The analysis of the classical and mirror triads of the sequence of earthquakes has been carried out in order to find the equations of evolution of foreshocks and aftershocks. The differential equation with cubic (quadratic) nonlinearity has…

During any unique crisis, panic sell-off leads to a massive stock market crash that may continue for more than a day, termed as mainshock. The effect of a mainshock in the form of aftershocks can be felt throughout the recovery phase of…

We propose a new metric to quantify the correlation between any two earthquakes. The metric consists of a product involving the time interval and spatial distance between two events, as well as the magnitude of the first one. According to…