相关论文: Crashes as Critical Points

The principal aim of this work is the evidence on empirical way that catastrophic bifurcation breakdowns or transitions, proceeded by flickering phenomenon, are present on notoriously significant and unpredictable financial markets.…

A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or 'crashes', contain parameters that are confined within certain ranges. The mechanism that has been claimed…

As a model of composite material, the fiber bundle model has been chosen -where a bundle of fibers is subjected to external load and fibers have distributed thresholds. For different loading conditions, such a system shows few precursors…

The hypothesis that living systems can benefit from operating at the vicinity of critical points has gained momentum in recent years. Criticality may confer an optimal balance between exceedingly ordered and too noisy states. We here…

Bifurcations can cause dynamical systems with slowly varying parameters to transition to far-away attractors. The terms ``critical transition'' or ``tipping point'' have been used to describe this situation. Critical transitions have been…

We analyze the characteristic features of traffic breakdown. To describe this phenomenon we apply to the probabilistic model regarding the jam emergence as the formation of a large car cluster on highway. In these terms the breakdown occurs…

Proving the existence of speculative financial bubbles even a posteriori has proven exceedingly difficult so anticipating a speculative bubble ex ante would at first seem an impossible task. Still as illustrated by the recent turmoil in…

This paper is the third in a series investigating the possibility that if we reside in an inflationary "bubble universe", we might observe the effects of collisions with other such bubbles. Here, we study the interior structure of a bubble…

Recurrence Plot (RP) and Recurrence Quantification Analysis (RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a…

Understanding the statistical properties of a collection of individuals subject to random displacements and birth-and-death events is key to several applications in physics and life sciences, encompassing the diagnostic of nuclear reactors…

In this paper, we present the possibility of using the Ising like models to explain by Statistical Physics means the connection between the financial discontinuities (herd behavior, bubbles, crashes) and "critical points" in physical of…

The observation of apparent power-laws in neuronal systems has led to the suggestion that the brain is at, or close to, a critical state and may be a self-organised critical system. Within the framework of self-organised criticality a…

Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An inconsistency exists to some extent in the…

In the context of rail transit operations, real-time passenger flow prediction is essential; however, most models primarily focus on normal conditions, with limited research addressing incident situations. There are several intrinsic…

A simple spin model is studied, motivated by the dynamics of traders in a market where expectation bubbles and crashes occur. The dynamics is governed by interactions which are frustrated across different scales: While ferromagnetic…

Experiments suggest that cerebral cortex gains several functional advantages by operating in a dynamical regime near the critical point of a phase transition. However, a long-standing criticism of this hypothesis is that critical dynamics…

We show that infinite divisibility of a trading commodity leads to a self-sustained price bubble when traders use adaptive investment strategies. The adaptive strategy can be viewed as a psychological response of a trader to the situation…

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…

We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic…

Cooperation for public goods poses a dilemma, where individuals are tempted to free ride on others' contributions. Classic solutions involve monitoring, reputation maintenance and costly incentives, but there are important collective…