相关论文: Dynamics of a financial market index after a crash

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 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…

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…

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…

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 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…

The emergence of a power-law distribution for the energy released during an earthquake is investigated in several models. Generic features are identified which are based on the self-affine behavior of the stress field prior to an event.…

The presented paper is devoted to the search for mathematical basis for describing the aftershock evolution of strong earthquakes. We consider the experimental facts and heuristic arguments that allow to make a choice and to focus on 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 volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive…

Whether aftershocks originate directly from the mainshock and surrounding stress environment or from afterslip dynamics is crucial to the understanding of the nature of aftershocks. We build on a classical description of the fault and…

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…

We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a peak that exceeds a predetermined…

The known Omori law is presented in the form of differential equation that describes the evolution of the aftershock activity. This equation is derived hypothetically with taking into account deactivation of the faults in epicentral zone 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…

Sequences of aftershocks following Omori's empirical law are observed after most major earthquakes, as well as in laboratory-scale fault-mimicking experiments. Nevertheless, the origin of this memory effect is still unclear. In this letter,…

The dynamical behavior of the currency exchange rate after its large-scale catastrophe is discussed through a case study of the rate of Russian rubles to US dollars after its crash in 2014. It is shown that, similarly to the case of the…

Omori Law describes the evolution of the aftershocks of a strong earthquake. Established at the end of the century before last, it is characterized by the beauty of its form, quite definite clarity, as a result of which it still attracts…

Observations indicate that the distributions of stock returns in financial markets usually do not conform to normal distributions, but rather exhibit characteristics of high peaks, fat tails and biases. In this work, we assume that the…

We investigate the large-volatility dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a…