相关论文: Crashes as Critical Points

Critical transitions, ubiquitous in nature and technology, necessitate anticipation to avert adverse outcomes. While many studies focus on bifurcation-induced tipping, where a control parameter change leads to destabilization, alternative…

Nonlinear dynamical systems subjected to a combination of noise and time-varying forcing can exhibit sudden changes, critical transitions or tipping points where large or rapid dynamic effects arise from changes in a parameter that are…

Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…

We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale…

The dynamics of opinion formation in a society is a complex phenomenon where many variables play an important role. Recently, the influence of algorithms to filter which content is fed to social networks users has come under scrutiny.…

A major impact of globalization has been the information flow across the financial markets rendering them vulnerable to financial contagion. Research has focused on network analysis techniques to understand the extent and nature of such…

A nonlinear differential equation of Sornette-Ide type with noise, for a complex variable, yields endogenous crashes, preceded by roughly log-periodic oscillations in the real part, and a strong increase in the imaginary part. The latter is…

The Nasdaq Composite fell another $\approx 10 %$ on Friday the 14'th of April 2000 signaling the end of a remarkable speculative high-tech bubble starting in spring 1997. The closing of the Nasdaq Composite at 3321 corresponds to a total…

Numerous systems ranging from deformation of materials to earthquakes exhibit bursty dynamics, which consist of a sequence of events with a broad event size distribution. Very often these events are observed to be temporally correlated or…

Brain rhythms contribute to every aspect of brain function. Here, we study critical and resonance phenomena that precede the emergence of brain rhythms. Using an analytical approach and simulations of a cortical circuit model of neural…

We show that the leading bubble test suffers severe size distortion when fundamentals incorporate general-purpose technology adoption. Embedding a hump-shaped technology shock in the Campbell-Shiller present-value model, we prove that the…

We study how experience with asset price bubbles changes the trading strategies of reinforcement learning (RL) traders and ask whether the change in trading strategies helps to prevent future bubbles. We train the RL traders in a…

Intelligent systems are increasingly integral to our daily lives, yet rare safety-critical events present significant latent threats to their practical deployment. Addressing this challenge hinges on accurately predicting the probability of…

For the nervous system to work at all, a delicate balance of excitation and inhibition must be achieved. However, when such a balance is sought by global strategies, only few modes remain balanced close to instability, and all other modes…

Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…

In the quickest change detection problem in which both nuisance and critical changes may occur, the objective is to detect the critical change as quickly as possible without raising an alarm when either there is no change or a nuisance…

In this study, we investigate asset price bubbles in a discrete-time, discrete-state market under model uncertainty and short sales prohibitions. Building on a new fundamental theorem of asset pricing and a superhedging duality in this…

Self-organized criticality in the Hwa-Kardar model of "running sandpile" [Phys. Rev. A 45, 7002 (1992)] with a turbulent motion of the environment taken into account is studied with the field theoretic renormalization group (RG). The…

The model of the current paper is an extension of a previous publication, wherein we used the leaky integrate-and-fire model on a regular lattice with periodic boundary conditions, and introduced the temporal complexity as a genuine…

It has been recently found that a number of systems displaying crackling noise also show a remarkable behavior regarding the temporal occurrence of successive events versus their size: a scaling law for the probability distributions of…