相关论文: Comment on "Are financial crashes predictable?"
It is widely speculated that auditors' public forecasts of bankruptcy are, at least in part, self-fulfilling prophecies in the sense that they might actually cause bankruptcies that would not have otherwise occurred. This conjecture is hard…
This is a comment on `` Is a Circular Orbit Possible According to General Relativity?" by F. T. Hioe and D. Kuebel.
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to investigate the outcomes of the log-periodic model…
The main points of the first section of the article written by S.I. Chernyshov, A.V. Voronin and S.A. Razumovsky arXiv:1003.4382), which deals with the fundamental bases of the macroeconomic theory, have been analyzed. An incorrectness of…
Comment on T.S. van Erp, S. Cuesta-Lopez, J.-G. Hagmann, and M. Peyrard, Phys. Rev. Lett. 95, 218104 (2005) [arXiv: physics/0508094].
In an article on statistical modelling of turbulent relative dispersion, Franzese & Cassiani (2007, p. 402) commented on Lagrangian stochastic models and reported some concern about the consistency between statisti- cal and stochastic…
This paper provides robust, new evidence on the causal drivers of market troughs. We demonstrate that conclusions about these triggers are critically sensitive to model specification, moving beyond restrictive linear models with a flexible…
Howes et al. Reply to Comment on "Kinetic Simulations of Magnetized Turbulence in Astrophysical Plasmas" arXiv:0711.4355
A reply to Drake (2013) "Early warning signals of stochastic switching" http://dx.doi.org/10.1098/rspb.2013.0686
We briefly review the well-known risks, weaknesses and limitations of spreadsheets and then introduce some more. We review and slightly extend our previous work on the importance and criticality of spreadsheets in the City of London,…
Prediction problems in finance go beyond estimating the unknown parameters of a model (e.g. of expected returns). This is because such a model would have to include parameters governing the market participants' propensity to change their…
In recent times we hear increasingly often about cyber attacks on various commercial and strategic sites that manage to escape any defense. In this article, we model such attacks on networks via stochastic processes and predict the time of…
This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an…
We report a phenomenon that physical perturbations sometimes can benefit the certainty of a free-fall motion with chaotic modes, albeit, as commonly believed, they can ruin it. We statistically compare those factors that may lead to…
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bifurcations and phase transitions, the…
We clarify the status of log-periodicity associated with speculative bubbles preceding financial crashes. In particular, we address Feigenbaum's [2001] criticism and show how it can be rebuked. Feigenbaum's main result is as follows: ``the…
We propose that predictability is a prerequisite for profitability on financial markets. We look at ways to measure predictability of price changes using information theoretic approach and employ them on all historical data available for…
Presentation for a talk "Two betting strategies that predict all compressible sequences" given at Seventh International Conference on Computability, Complexity and Randomness (CCR 2012)…
We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…
Rejoinder to "Is Bayes Posterior just Quick and Dirty Confidence?" by D. A. S. Fraser [arXiv:1112.5582]