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.
TDA detects financial bubbles through early warning signals.
This is the third installment of the Financial Bubble Experiment. Here we provide the digital fingerprint of an electronic document in which we identify 27 bubbles in 27 different global assets; for 25 of these assets, we present windows of dates of the most likely ending time of each bubble. We will provide that docum…
This is the second installment of the Financial Bubble Experiment. Here we provide the digital fingerprint of an electronic document in which we identify 7 bubbles in 7 different global assets; for 4 of these assets, we present windows of dates of the most likely ending time of each bubble. We will provide that documen…
Study predicts 2015 Chinese stock market bubble using LPPLS model.
Continuous time analysis of bubble formation in harmonic maps.
Paper evaluates whether AI is a bubble or a productivity revolution.
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 dynamical system. It is shown that RP and RQA detect the critical regime in financial i…
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical tool and investigate analytically its link with stocks correlation structure.
Study on super-Toda system on Riemann surfaces, analyzing solutions with four types of bubbling.
Previous analyses of a large ensemble of stock markets have demonstrated that a log-periodic power law (LPPL) behavior of the prices constitutes a qualifying signature of speculative bubbles that often land with a crash. We detect such a LPPL signature in the foreign capital inflow during the bubble on the US markets c…
Study analyzes Bitcoin price dynamics from 2012 to 2018, identifying major price peaks.
The paper analyzes potential housing bubbles in China using statistical tests.
Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new methodology to test how this model classifies 9 time series that have been previously considered as bubbles ending in crashes. The …
Study predicts NFT bubbles using LPPL model.
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the bulk of drawdown price movement distribution. This paper goes on dee…
An elementary proof found for the double bubble problem in a specific norm.
Study analyzes stock market dynamics using Tsallis statistics and GHE, revealing pre-bubble and post-bubble market characteristics.
Geometrically, this paper shows how minimal surfaces converge smoothly under certain conditions.
Study detects Chinese stock market bubbles using LPPLS confidence indicator.
We analyze the quarterly average sale prices of new houses sold in the USA as a whole, in the northeast, midwest, south, and west of the USA, in each of the 50 states and the District of Columbia of the USA, to determine whether they have grown faster-than-exponential which we take as the diagnostic of a bubble. We fin…
Study predicts market bubbles using machine learning and financial news sentiment.
A new model detects financial bubbles with high accuracy.
We analyze 27 house price indexes of Las Vegas from Jun. 1983 to Mar. 2005, corresponding to 27 different zip codes. These analyses confirm the existence of a real-estate bubble, defined as a price acceleration faster than exponential, which is found however to be confined to a rather limited time interval in the recen…
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenomena driven by psychological factors (for example, popularity of rock groups, or a number of students pursuing a given majo…
Amid the current financial crisis, there has been one equity index beating all others: the Shanghai Composite. Our analysis of this main Chinese equity index shows clear signatures of a bubble build up and we go on to predict its most likely crash date: July 17-27, 2009 (20%/80% quantile confidence interval).
Boundary bubbles form in almost minimal cylinders under specific conditions.
Study confirms financial bubbles' common patterns in isolated markets.
In this paper, we study the weak compactness of the set of conformal metrics in any Riemann surface without boundary whose Calabi energy and area are uniformly bounded. We prove that for any sequence of such metrics, there alwasy exists a subsequence which converges in H\sp{2,2}_\sb{loc} everywhere except a finite numb…
Study proves energy critical heat equation solutions are Type I blowups for n ≥ 7.
We show that power-law analyses of financial commentaries from newspaper web-sites can be used to identify stock market bubbles, supplementing traditional volatility analyses. Using a four-year corpus of 17,713 online, finance-related articles (10M+ words) from the Financial Times, the New York Times, and the BBC, we s…
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bifurcations and phase transitions, the log-periodic power law model has been developed as a flexible tool to detect bubbl…
Model predicts Bitcoin bubbles with network properties and LPPLS model.
This working paper analyzes the gold price dynamics on the basis of methodology developed by Didier Sornette. Our calculations indicate that this dynamics is close to the one of the "bubbles" studied by Sornette and that the most probable timing of the "burst of the gold bubble" is April - June 2011. The obtained resul…
Unified model connects rational and local martingale bubbles to equity risk premium.
The Lagrange regularisation method detects financial bubbles' start times objectively.
We prove the double bubble conjecture in the three-sphere and hyperbolic three-space in the cases where we can apply Hutchings theory: 1) in , each enclosed volume and the complement occupy at least 10% of the volume of ; 2) in , the smaller volume is at least 85% that of the larger. A balanc…
We applied the Johansen-Ledoit-Sornette (JLS) model to detect possible bubbles and crashes related to the Brexit/Bremain referendum scheduled for 23rd June 2016. Our implementation includes an enhanced model calibration using Genetic Algorithms. We selected a few historical financial series sensitive to the Brexit/Brem…
The paper analyzes feedback loops in recommender systems causing echo chambers and filter bubbles.
Statistical analysis of financial data most focused on testing the validity of Brownian motion (Bm). Analysis performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many financial derivatives. We inquiry in the behavior of measures of performance based on …
A general theory of innovation and progress in human society is outlined, based on the combat between two opposite forces (conservatism/inertia and speculative herding "bubble" behavior). We contend that human affairs are characterized by ubiquitous ``bubbles'', which involve huge risks which would not otherwise be tak…
Characterizes critical points in convex double and triple bubbles.
We propose that imitation between traders and their herding behaviour not only lead to speculative bubbles with accelerating over-valuations of financial markets possibly followed by crashes, but also to ``anti-bubbles'' with decelerating market devaluations following all-time highs. For this, we propose a simple marke…
Study finds small surfaces in space times with new functionals.
360° Stance Detection aggregates diverse news perspectives for unbiased opinions.
Study on prescribing positive curvature with conical singularities on a sphere.
Survey on soap bubble partitions and their stability.
Bubbles are essential in certain economic models with high growth and low interest rates.
We tested 45 indices and common stocks traded in the South African stock market for the possible existence of a bubble over the period from Jan. 2003 to May 2006. A bubble is defined by a faster-than-exponential acceleration with significant log-periodic oscillations. The faster-than-exponential acceleration characteri…