相关论文: Role of Diversification Risk in Financial Bubbles

Starting from the global financial crisis to the more recent disruptions brought about by geopolitical tensions and public health crises, the volatility of risk in financial markets has increased significantly. This underscores the…

We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function $\chi_q(s)$ scales as a power law with…

Using an exhaustive list of Japanese bankruptcy in 1997, we discover a Zipf law for the distribution of total liabilities of bankrupted firms in high debt range. The life-time of these bankrupted firms has exponential distribution in…

Searching for new effective risk factors on stock returns is an important research topic in asset pricing. Factor modeling is an active research topic in statistics and econometrics, with many new advances. However, these new methods have…

This paper systematically conducts an analysis of the composite index 1-min datasets over the 17-year period (2005-2021) for both the Shanghai and Shenzhen stock exchanges. To reveal the difference between the Chinese and the mature stock…

We introduce a non-growth model that generates the power-law distribution with the Zipf exponent. There are N elements, each of which is characterized by a quantity, and at each time step these quantities are redistributed through binary…

Geographic diversification is fundamental to risk mitigation among investors and insurers of housing, mortgages, and mortgage-related derivatives. To characterize diversification potential, we provide estimates of integration, spatial…

Uncovering the risk transmitting path within economic sectors in China is crucial for understanding the stability of the Chinese economic system, especially under the current situation of the China-US trade conflicts. In this paper, we try…

We review the recently introduced concept of variety of a financial portfolio and we sketch its importance for risk control purposes. The empirical behaviour of variety, correlation, exceedance correlation and asymmetry of the probability…

Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…

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…

In complex systems like financial market, risk tolerance of individuals is crucial for system resilience.The single-security price limit, designed as risk tolerance to protect investors by avoiding sharp price fluctuation, is blamed for…

In this paper, we quantitatively investigate the statistical properties of a statistical ensemble of stock prices. We selected 1200 stocks traded on the Tokyo Stock Exchange, and formed a statistical ensemble of daily stock prices for each…

Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…

We apply the Zipf power law to financial time series of WIG20 index daily changes (open-close). Thanks to the mapping of time series signal into the sequence of 2k+1 'spin-like' states, where k=0, 1/2, 1, 3/2, ..., we are able to describe…

Portfolio diversification and active risk management are essential parts of financial analysis which became even more crucial (and questioned) during and after the years of the Global Financial Crisis. We propose a novel approach to…

The Kullback-Leibler cluster entropy $\mathcal{D_{C}}[P \| Q] $ is evaluated for the empirical and model probability distributions $P$ and $Q$ of the clusters formed in the realized volatility time series of five assets (SP\&500, NASDAQ,…

We propose a novel model, the Hyped Log-Periodic Power Law Model (HLPPL), to the problem of quantifying and detecting financial bubbles, an ever-fascinating one for academics and practitioners alike. Bubble labels are generated using a…

The quantification of diversification benefits due to risk aggregation plays a prominent role in the (regulatory) capital management of large firms within the financial industry. However, the complexity of today's risk landscape makes a…

By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size distribution follows Zipf's law. Secondly, we find that…