相关论文: Predicting economic market crises using measures o…

We present an analysis of the time behavior of the $S\&P500$ (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and…

We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, ``bounded rationality'' and a probabilistic description. We also…

This note focuses on the optimization of neural architectures for stock index movement forecasting following a major market disruption or crisis. Given that such crises may introduce a shift in market dynamics, this study aims to…

A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…

A prey animal surveying its environment must decide whether there is a dangerous predator present or not. If there is, it may flee. Flight has an associated cost, so the animal should not flee if there is no danger. However, the prey animal…

When making decisions under risk, people often exhibit behaviors that classical economic theories cannot explain. Newer models that attempt to account for these irrational behaviors often lack neuroscience bases and require the introduction…

The principal aim of this work is the evidence on empirical way that catastrophic bifurcation breakdowns or transitions, proceeded by flickering phenomenon, are present on notoriously significant and unpredictable financial markets.…

Since the Great Financial Crisis (GFC), the use of stress tests as a tool for assessing the resilience of financial institutions to adverse financial and economic developments has increased significantly. One key part in such exercises is…

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…

Identifying and quantifying factors influencing human decision making remains an outstanding challenge, impacting the performance and predictability of social and technological systems. In many cases, system failures are traced to human…

We study the societal impact of pseudo-scientific assumptions for predicting the behavior of people in a straightforward application of machine learning to risk prediction in financial lending. This use case also exemplifies the impact of…

In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…

Abrupt shifts in ecosystems, brains, markets, and climate are often diagnosed as signs of approaching a tipping point, i.e. a critical bifurcation where stability is lost. Here we reveal a broader and more deceptive mechanism:…

Financial market risk forecasting involves applying mathematical models, historical data analysis and statistical methods to estimate the impact of future market movements on investments. This process is crucial for investors to develop…

Among other macroeconomic indicators, the monthly release of U.S. unemployment rate figures in the Employment Situation report by the U.S. Bureau of Labour Statistics gets a lot of media attention and strongly affects the stock markets. I…

A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…

Financial Distress Prediction plays a crucial role in the economy by accurately forecasting the number and probability of failing structures, providing insight into the growth and stability of a country's economy. However, predicting…

Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…

Standard economic theory assumes that agents in markets behave rationally. However, the observation of extremely large fluctuations in the price of financial assets that are not correlated to changes in their fundamental value, as well as…

We propose that catastrophic events are "outliers" with statistically different properties than the rest of the population and result from mechanisms involving amplifying critical cascades. Applications and the potential for prediction are…