相关论文: On the maximum drawdown during speculative bubbles
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…
We provide an analytic, microscopic analysis of extreme events in an adaptive population comprising competing agents (e.g. species, cells, traders, data-packets). Such large changes tend to dictate the long-term dynamical behaviour of many…
We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day,…
We apply the Principle of Maximum Entropy to the study of a general class of deterministic fractal sets. The scaling laws peculiar to these objects are accounted for by means of a constraint concerning the average content of information in…
When a bubble of air rises to the top of a highly viscous liquid, it forms a dome-shaped protuberance on the free surface. Unlike a soap bubble, it bursts so slowly as to collapse under its own weight simultaneously, and folds into a…
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…
We study the cause of large fluctuations in prices in the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or cancellation of an order to buy or sell. We show that price…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$. By choosing the largest…
We consider stochastic processes arising from dynamical systems by evaluating an observable function along the orbits of the system. The novelty is that we will consider observables achieving a global maximum value (possible infinite) at…
We seek to deepen understanding of the micro-foundations of institutionalization while contributing to a sociological theory of markets by investigating the puzzle of price bubbles in financial markets. We find that such markets, despite…
We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is…
The recent "correlation breakdown" in the modeling of credit default swaps, in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and argued to be a fundamental market…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…
We present an analysis of oil prices in US$ and in other major currencies that diagnoses unsustainable faster-than-exponential behavior. This supports the hypothesis that the recent oil price run-up has been amplified by speculative…
Chaotic flow is studied in a series of numerical magnetohydrodynamical simulations that use the shearing box formalism. This mimics important features of local accretion disk dynamics. The magnetorotational instability gives rise to flow…
While the use of volatilities is pervasive throughout finance, our ability to determine the instantaneous volatility of stocks is nascent. Here, we present a method for measuring the temporal behavior of stocks, and show that stock prices…
This paper defines theoretical lower bounds of uncertainty of observations of macroeconomic variables that depend on statistical moments and correlations of random values and volumes of market trades. Any econometric assessments of…
Recent numerical explorations of extremely intense circulation fluctuations at high Reynolds number flows have brought to light novel aspects of turbulent intermittency. Vortex gas modeling ideas, introduced alongside such developments,…
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…