相关论文: Large financial crashes

In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extreme Events in stock market data. In contrast to popular…

Following our previous investigation of the USA Standard and Poor index anti-bubble that started in August 2000, we analyze thirty eight world stock market indices and identify 21 anti-bubble. An ``anti-bubble'' is defined as a…

We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the…

A model of an evolving network of interacting molecular species is shown to exhibit repeated rounds of crashes in which several species get rapidly depopulated, followed by recoveries. The network inevitably self-organizes into an…

The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability…

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 study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…

Many complex systems exhibit extreme events far more often than expected for a normal distribution. This work examines how self-similar bursts of activity across several orders of magnitude can emerge from first principles in systems that…

Stock market indices are volatile by nature, and sudden shocks are known to affect volatility patterns. The autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) models neglect structural breaks triggered by…

The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…

The imbalance of buying and selling functions profoundly in the formation of market trends, however, a fine-granularity investigation of the imbalance is still missing. This paper investigates a unique transaction dataset that enables us to…

Based on the tick-by-tick price changes of the companies from the U.S. and from the German stock markets over the period 1998-99 we reanalyse several characteristics established by the Boston Group for the U.S. market in the period 1994-95,…

We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…

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 simulate a simplified version of the price process including bubbles and crashes proposed in Kreuser and Sornette (2018). The price process is defined as a geometric random walk combined with jumps modelled by separate, discrete…

We compare the probability distribution of returns for the three major stock-market indexes (Nasdaq, S&P500, and Dow-Jones) with an analytical formula recently derived by Dragulescu and Yakovenko for the Heston model with stochastic…

The price of financial assets are, since Bachelier, considered to be described by a (discrete or continuous) time sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has…

Financial markets have been extensively studied as highly complex evolving systems. In this paper, we quantify financial price fluctuations through a coupled dynamical system composed of phase oscillators. We find a Financial Coherence and…

We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is…

We tested 45 indices and common stocks traded in the South African stock market for the possible existence of a bubble over the period from Jan. 2003 to May 2006. A bubble is defined by a faster-than-exponential acceleration with…