相关论文: Are Financial Crashes Predictable?
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…
We propose a reduced form set of two coupled continuous time equations linking the price of a representative asset and the price of a bond, the later quantifying the cost of borrowing. The feedbacks between asset prices and bonds are…
We argue that the present crisis and stalling economy continuing since 2007 are rooted in the delusionary belief in policies based on a "perpetual money machine" type of thinking. We document strong evidence that, since the early 1980s,…
Forecasting violent rockbursts remains a formidable challenge due to significant uncertainties involved. One major uncertainty arises from the intermittency of rock failure processes, typically characterised by a series of progressively…
The forecasting of the credit default risk has been an important research field for several decades. Traditionally, logistic regression has been widely recognized as a solution due to its accuracy and interpretability. As a recent trend,…
We analyze whether the prediction of the fractal markets hypothesis about a dominance of specific investment horizons during turbulent times holds. To do so, we utilize the continuous wavelet transform analysis and obtained wavelet power…
Entries of datasets are often collected only if an event occurred: taking a survey, enrolling in an experiment and so forth. However, such partial samples bias classical correlation estimators. Here we show how to correct for such sampling…
We describe a financial market model which shows a non-equilibrium phase transition. Near the transition punctuated equilibrium behaviour is seen, with avalanches occuring on all scales. This scaling is described by an exponent very near 1.…
Oscillations are observed in all branches of science and culture, ranging from the behavior of ele-mentary particles, atoms, molecules in simple chemical or physical systems or even in complex organisms, up to oscillations of the behavior…
Business cycles (a periodic change of e.g. GDP over five to ten years) exist, but a proper explanation for it is still lacking. Here we extend the well-known NAIRU (non-accelerating inflation rate of unemployment) model, resulting in a set…
The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well…
Precise financial series predicting has long been a difficult problem because of unstableness and many noises within the series. Although Traditional time series models like ARIMA and GARCH have been researched and proved to be effective in…
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…
In a posteriori error analysis, the relationship between error and estimator is usually spoiled by so-called oscillation terms, which cannot be bounded by the error. In order to remedy, we devise a new approach where the oscillation has the…
Temporal logics over finite traces have recently seen wide application in a number of areas, from business process modelling, monitoring, and mining to planning and decision making. However, real-life dynamic systems contain a degree of…
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure…
In their recent paper [Phys. Rev. Lett. 98, 094101 (2007)], A. Porporato et al. studied the irreversibility and fluctuation theorem for stationary time series. In this comment, we point out that the fluctuation theorem is in fact the…
Characteristic versus critical features of earthquakes are studied on the basis of the Olami-Feder-Christensen model. It is found that the local recurrence-time distribution exhibits a sharp $\delta$-function-like peak corresponding to…
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…
This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily…