A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study shows changes in information sharing between Bitcoin markets during 2017 crash.
This study analyzes cryptocurrency market crashes using complex network analysis.
This study identifies RwD crash patterns on rural two-lane highways under different lighting conditions.
We analyze the time series of four major cryptocurrencies (Bitcoin, Ethereum, Litecoin, and Ripple) before the digital market crash at the end of 2017 - beginning 2018. We introduce a methodology that combines topological data analysis with a machine learning technique -- -means clustering -- in order to automatical…
Study shows economic policy uncertainty increases stock market crash risk during pandemic.
This study uses ARM to analyze pedestrian crashes under different lighting conditions.
Warning signs about the developing economic crisis in Greece were present in the growth rate of the Gross Domestic Product (GDP) and in the growth of the GDP well before the economic collapse. The growth rate was strongly unstable. On average, in less than 50 years, it decreased 10-folds but after reaching a low minimu…
Predicts stock market crashes using rational bubble model.
Study examines financial market structure changes during the COVID-19 crash using a novel MI approach.
This paper uses machine learning to estimate how different types of crashes affect highway traffic.
Study reveals 2020 stock crashes were mostly endogenous, not exogenous.
Study finds a phase transition in flash crashes involving large and liquid stocks.
The paper models market crashes as phase transitions, finding dynamic transitions offer better predictions.
MSCT predicts post-crash traffic speed using causal inference.
Study proposes a machine learning method to predict stock price crashes based on investor sentiment.
Study improves crash rate forecasting in Washington, D.C. using stochastic volatility model.
We call attention against what seems to a widely held misconception according to which large crashes are the largest events of distributions of price variations with fat tails. We demonstrate on the Dow Jones Industrial index that with high probability the three largest crashes in this century are outliers. This result…
Study reveals the 2020 U.S. stock crash was endogenous, not caused by COVID.
Study shows COVID-19 increases stock market crash risk in China.
The paper analyzes the crash of stock and commodity markets during COVID-19 using Topological Data Analysis.
Agent-based model simulates financial market crashes and identifies key factors.
Study reveals how illiquidity network signals Chinese stock market crashes.
A brief historical perspective is first given concerning financial crashes, - from the 17th till the 20th century. In modern times, it seems that log periodic oscillations are found before crashes in several financial indices. The same is found in sand pile avalanches on Sierpinski gaskets. A discussion pertains to the…
Log-periodic oscillations have been used to predict price trends and crashes on financial markets. So far two types of log-periodic oscillations have been associated with the real markets. The first type are oscillations which accompany a rising market and which ends in a crash. The second type oscillations, called "an…
Predict real-time crash risks during hurricane evacuations using connected vehicle data.
This review is a partial synthesis of the book ``Why stock market crash'' (Princeton University Press, January 2003), which presents a general theory of financial crashes and of stock market instabilities that his co-workers and the author have developed over the past seven years. The study of the frequency distributio…
We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market fragmentation, in particular due to the aggressive use of Intermarke…
The blockchain technology promises to transform finance, money and even governments. However, analyses of blockchain applicability and robustness typically focus on isolated systems whose actors contribute mainly by running the consensus algorithm. Here, we highlight the importance of considering trustless platforms wi…
Several authors have noticed the signature of log-periodic oscillations prior to large stock market crashes [cond-mat/9509033, cond-mat/9510036, Vandewalle et al 1998]. Unfortunately good fits of the corresponding equation to stock market prices are also observed in quiet times. To refine the method several approaches …
Identifying unambiguously the presence of a bubble in an asset price remains an unsolved problem in standard econometric and financial economic approaches. A large part of the problem is that the fundamental value of an asset is, in general, not directly observable and it is poorly constrained to calculate. Further, it…
The study analyzes aftershocks of stock market crashes using statistical methods.
In this short note we discuss recent attempts to describe pre-crash market dynamics with analogies from theory of critical phenomena.
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical studies suggest that large price jumps cannot be explained by news and are the …
This paper presents an exclusive classification of the largest crashes in Dow Jones Industrial Average (DJIA), SP500 and NASDAQ in the past century. Crashes are objectively defined as the top-rank filtered drawdowns (loss from the last local maximum to the next local minimum disregarding noise fluctuations), where the …
New turbulence index using TDA detects financial market transitions.
We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized in terms of the exceedances over a given threshold. This characterization is analogous to the Omori law originally observed in geophysics. …
We study the Johansen-Ledoit-Sornette (JLS) model of financial market crashes (Johansen, Ledoit, and Sornette [2000] "Crashes as Critical Points." Int. J. Theor. Appl. Finan. 3(2) 219-255). On our view, the JLS model is a curious case from the perspective of the recent philosophy of science literature, as it is natural…
We apply two non-parametric methods to test further the hypothesis that log-periodicity characterizes the detrended price trajectory of large financial indices prior to financial crashes or strong corrections. The analysis using the so-called (H,q)-derivative is applied to seven time series ending with the October 1987…
We present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the investment attitude of other traders. Bubbles and crashes are understood and descr…
This paper is devoted to problem of detecting critical events at finiacial markets using methods of multifractal analysis. Namely, the local regularity of time-series is studied. As a result, one can find out a special behavior or signal of regularity before crashes. This spesial behaviour of local Hoelder exponents in…
New method uses topological data analysis to study stock market crashes.
Investor expectations shifted pessimistically during the 2020 stock market crash and recovery.
A modular cash-overlay rule for allocating between a fixed growth-defensive risky sleeve and interest-bearing cash.
In this paper we adopted state-of-the-art machine learning algorithms, namely: random forest (RF) and least squares boosting, to model crash data and identify the optimum model to study the impact of narrow lanes on the safety of arterial roads. Using a ten-year crash dataset in four cities in Nebraska, two machine lea…
We take prior-to-crash market prices (NASDAQ, Dow Jones Industrial Average) as a signal, a function of time, we project these discrete values onto a vertical axis, thus obtaining a Cantordust. We study said cantordust with the tools of multifractal analysis, obtaining spectra by definition and by lagrangian coordinates…
The real-time crash likelihood prediction has been an important research topic. Various classifiers, such as support vector machine (SVM) and tree-based boosting algorithms, have been proposed in traffic safety studies. However, few research focuses on the missing data imputation in real-time crash likelihood predictio…
This is the Proceedings of the 2017 ICML Workshop on Human Interpretability in Machine Learning (WHI 2017), which was held in Sydney, Australia, August 10, 2017. Invited speakers were Tony Jebara, Pang Wei Koh, and David Sontag.
Digitwashing gap boosts stock crash risk, study finds.