相关论文: Crashes as Critical Points

We consider noise-driven exit from a domain of attraction in a two-dimensional bistable system lacking detailed balance. Through analog and digital stochastic simulations, we find a theoretically predicted bifurcation of the most probable…

In the last decade, several models with network adaptive mechanisms (link deletion-creation, dynamic synapses, dynamic gains) have been proposed as examples of self-organized criticality (SOC) to explain neuronal avalanches. However, all…

Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…

A system is considered, which is subject to external and possibly fatal shocks, with dependence between the fatality of a shock and the system age. Apart from these shocks, the system suffers from competing soft and sudden failures, where…

This paper explores the mechanisms behind extreme financial events, specifically market crashes, by employing the theoretical framework of phase transitions. We focus on endogenous crashes, driven by internal market dynamics, and model…

When making decisions under risk, people often exhibit behaviors that classical economic theories cannot explain. Newer models that attempt to account for these irrational behaviors often lack neuroscience bases and require the introduction…

We analyze sources of error in prediction market forecasts in order to bound the difference between a security's price and the ground truth it estimates. We consider cost-function-based prediction markets in which an automated market maker…

The problem of detecting the presence of a signal that can lead to a disaster is studied. A decision-maker collects data sequentially over time. At some point in time, called the change point, the distribution of data changes. This change…

Neural systems process information in a dynamical regime between silence and chaotic dynamics. This has lead to the criticality hypothesis which suggests that neural systems reach such a state by self-organizing towards the critical point…

Secondary crash likelihood prediction is a critical component of an active traffic management system to mitigate congestion and adverse impacts caused by secondary crashes. However, existing approaches mainly rely on post-crash features…

We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of…

This paper models a decision support system to predict the occurance of suicide attack in a given collection of cities. The system comprises two parts. First part analyzes and identifies the factors which affect the prediction. Admitting…

The study efforts to explore and extend the crisis predictability by synthetically reviewing and comparing a full mixture of early warning models into two constitutions: crisis identifications and predictive models. Given empirical results…

We consider a competing risks model, in which system failures are due to one out of two mutually exclusive causes, formulated within the framework of shock models driven by bivariate Poisson process. We obtain the failure densities and the…

This article provides a self-contained overview of the theory of rational asset price bubbles. We cover topics from basic definitions, properties, and classical results to frontier research, with an emphasis on bubbles attached to real…

We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease with the size of their position, as it would be the case…

In a recent comment (Johansen A 2003 An alternative view, Quant. Finance 3: C6-C7, cond-mat/0302141), Anders Johansen has criticized our methodology and has questioned several of our results published in [Sornette D and Zhou W-X 2002 The US…

The emergence and evolution of real-world systems have been extensively studied in the last few years. However, equally important phenomena are related to the dynamics of systems' collapse, which has been less explored, especially when they…

Reducing traffic fatalities and serious injuries is a top priority of the US Department of Transportation. The computer vision (CV)-based crash anticipation in the near-crash phase is receiving growing attention. The ability to perceive…

For the enhancement of the transient stability of power systems, the key is to define a quantitative optimization formulation with system parameters as decision variables. In this paper, we model the disturbances by Gaussian noise and…