相关论文: Comment on "Are financial crashes predictable?"
Rejoinder of "Estimating the historical and future probabilities of large terrorist events" by Aaron Clauset and Ryan Woodard [arXiv:1209.0089].
Financial bubbles and crashes have repeatedly caused economic turmoil notably but not only during the 2008 financial crisis. However, both in the popular press as well as scientific publications, the meaning of bubble is sometimes…
In this paper, we address one of the main puzzles in finance observed in the stock market by proponents of behavioral finance: the stock predictability puzzle. We offer a statistical model within the context of rational finance which can be…
Review of: Brigitte Le Roux and Henry Rouanet, Geometric Data Analysis, From Correspondence Analysis to Structured Data Analysis, Kluwer, Dordrecht, 2004, xi+475 pp.
We introduce the concept of "negative bubbles" as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the…
Financial markets are well known for their dramatic dynamics and consequences that affect much of the world's population. Consequently, much research has aimed at understanding, identifying and forecasting crashes and rebounds in financial…
We analyze the financial crash in 2008 for different financial markets from the point of view of log-periodic function model. In particular, we consider Dow Jones index, DAX index and Hang Seng index. We shortly discuss the possible…
Discussion of "Is Bayes Posterior just Quick and Dirty Confidence?" by D. A. S. Fraser [arXiv:1112.5582]
Starting from two case histories, where only after thorough Failure Analysis the suddenly appearance of a failure was linked to much earlier events, the possibility of improving the reliability and of adjusting the reliability prediction…
Comment on cond-mat/0205390; PRL 90, 026805 (2003)
Over the past decade, millions of companies have filed for bankruptcy. This has been caused by a plethora of reasons, namely, high interest rates, heavy debts and government regulations. The effect of a company going bankrupt can be…
Oft-cited causes of mini-flash crashes include human errors, endogenous feedback loops, the nature of modern liquidity provision, fundamental value shocks, and market fragmentation. We develop a mathematical model which captures aspects of…
Response to comment by Finn et al.
A Comment on the Letter by G. Scarcelli, V. Berardi and Y. Shih, Phys. Rev. Lett. 96, 063602 (2006).
The paper "Critical Truths About Power Laws" (Science, 335, pp665-666) by MPH Stumpf MPH and MA Porter is commented
Correction to Bernoulli (2006), 12, 551--570 http://projecteuclid.org/euclid.bj/1151525136
Predicting panic is of critical importance in many areas of human and animal behavior, notably in the context of economics. The recent financial crisis is a case in point. Panic may be due to a specific external threat, or self-generated…
It is a common belief that power-law distributed avalanches are inherently unpredictable. This idea affects phenomena as diverse as evolution, earthquakes, superconducting vortices, stock markets, etc; from atomic to social scales. It…
Prediction is a complex notion, and different predictors (such as people, computer programs, and probabilistic theories) can pursue very different goals. In this paper I will review some popular kinds of prediction and argue that the theory…
We comment on the paper `UCN anomalous losses and the UCN capture cross section on material defects' by A. Serebrov et al., Phys. Lett. A 335 (2005) 327 - 336. Data presented do not originate from these authors alone but were taken in…