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.
Defines crisis transitions in pure exchange economies rigorously.
In Maslov (2003), a two level model of the occurrence of financial pyramid (bubbles) has been considered. We also considered the mathematical analogy of this model to Bose condensation. In the present paper, we explain why Ponzi schemes and bubbles result in a crisis in real economics. In Maslov (2005), the law of incr…
In an informal way, a number of thoughts on the financial crisis 2008 are presented from a physicist's viewpoint, considering the problem as a nonergodicity transition of a spin-glass type of system. Some tentative suggestions concerning the way out of the crisis are also discussed, concerning Keynesian "deficit spendi…
Study reveals structural differences in financial networks near and far from crises using balance theory.
We present a model of worldwide crisis contagion based on the Google matrix analysis of the world trade network obtained from the UN Comtrade database. The fraction of bankrupted countries exhibits an \textit{on-off} phase transition governed by a bankruptcy threshold related to the trade balance of the countries. …
We develop a topology data analysis-based method to detect early signs for critical transitions in financial data. From the time-series of multiple stock prices, we build time-dependent correlation networks, which exhibit topological structures. We compute the persistent homology associated to these structures in order…
The financial crisis clearly illustrated the importance of characterizing the level of 'systemic' risk associated with an entire credit network, rather than with single institutions. However, the interplay between financial distress and topological changes is still poorly understood. Here we analyze the quarterly inter…
In this paper, we perform statistical segmentation and clustering analysis of the Dow Jones Industrial Average time series between January 1997 and August 2008. Modeling the index movements and log-index movements as stationary Gaussian processes, we find a total of 116 and 119 statistically stationary segments respect…
Study analyzes stock market dynamics using recurrence measures and transitions.
This paper proposes a multi-scale Markov-Switching GARCH model for EUR/USD volatility.
SRR detects early signs of financial crises using multi-layer graphs.
The goal of this investigation was to overcome limitations of a persistency analysis, introduced by Benoit Mandelbrot for fractal Brownian processes: nondifferentiability, Brownian nature of process and a linear memory measure. We have extended a sense of a Hurst factor by consideration of a phase diffusion power law. …
Financial networks are dynamic. To assess their systemic importance to the world-wide economic network and avert losses we need models that take the time variations of the links and nodes into account. Using the methodology of classical mechanics and Laplacian determinism we develop a model that can predict the respons…
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. Overall, in this work we developed various metrics associated with catastrophic bifurca…
The paper investigates non-linear and heavy-tailed predictability in transition-energy financial markets.
Interbank markets are often characterised in terms of a core-periphery network structure, with a highly interconnected core of banks holding the market together, and a periphery of banks connected mostly to the core but not internally. This paradigm has recently been challenged for short time scales, where interbank ma…
Fossil power firms have recently profited more than renewables, but this may be a temporary phenomenon.
Understanding urban growth is one with understanding how society evolves to satisfy the needs of its individuals in sharing a common space and adapting to the territory. We propose here a quantitative analysis of the historical development of a large urban area by investigating the spatial distribution and the age of c…
This study uses high-frequency data to identify early warning signals for bank crises.
We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time periods: the time before, during, and after the crisis. The complex networks gen…
We consider the relationship between economic activity and intervention, including monetary and fiscal policy, using a universal dynamic framework. Central bank policies are designed for growth without excess inflation. However, unemployment, investment, consumption, and inflation are interlinked. Understanding dynamic…
The paper uses machine learning to predict the impact of the Ukraine crisis on financial markets.
Analysis finds no evidence of banks managing deposit run risk prior to 2023 Regional Banking Crisis.
The dual crises of the sub-prime mortgage crisis and the global financial crisis has prompted a call for explanations of non-equilibrium market dynamics. Recently a promising approach has been the use of agent based models (ABMs) to simulate aggregate market dynamics. A key aspect of these models is the endogenous emer…
We argue that the present crisis and stalling economy continuing since 2007 are rooted in the delusionary belief in policies based on a "perpetual money machine" type of thinking. We document strong evidence that, since the early 1980s, consumption has been increasingly funded by smaller savings, booming financial prof…
Machine learning predicts US stock market crashes.
Our study shows that many firms would accumulate at zero output level (namely, Bankruptcy status) if a perfectly competitive market reaches full employment (namely, those people who should obtain employment have obtained employment). As a result, appearance of economic crisis is determined by two points; that is, (a). …
We analyzed cross-correlations between price fluctuations of global financial indices (20 daily stock indices over the world) and local indices (daily indices of 200 companies in the Korean stock market) by using random matrix theory (RMT). We compared eigenvalues and components of the largest and the second largest ei…
The study examines cross-border lending behavior from G7 countries, showing changes in driving factors after the 2008 financial crisis.
Python tool detects economic crises from S&P500 correlation data.
Study improves early warning models for currency and stock market crises.
This paper calculates risk-dependent centrality of Brazilian stocks, showing rankings vary with external risk and crisis events.
This article demonstrates the possibility of constructing indicators of critical and crisis phenomena in the volatile market of cryptocurrency. For this purpose, the methods of the theory of complex systems such as recurrent analysis of dynamic systems and the calculation of permutation entropy are used. It is shown th…
We consider the effects of the 2008 global financial crisis on the global stock market before, during, and after the crisis. We generate complex networks from a cross-correlation matrix such as the threshold network (TN) and the minimal spanning tree (MST). In the threshold network, we assign a threshold value by using…
The Financial Crisis of 2008 is a worldwide financial crisis causing a worldwide economic decline that is the most severe since the 1930s. According to the International Monetary Fund (IMF), the global financial crisis gave impact on USD 3.4 trillion losses from financial institutions around the world between 2007 and …
In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective behaviour of markets during a financial crisis through cross-correlations between typi…
Study shows sudden loss of balance in stock market networks after 2011, reducing predictability.
Corporate bond factor research is flawed due to measurement errors and ex-post filtering.
The 2008 financial crisis revealed banking consolidation paradoxically increased systemic fragility and global financial contagion with negligible spatial decay.
A simple and elegant arrangement of stock components of a portfolio (market index-DJIA) in a recent paper [1], has led to the construction of crossing of stocks diagram. The crossing stocks method revealed hidden remarkable algebraic and geometrical aspects of stock market. The present paper continues to uncover new ma…
We propose a novel framework of estimating systemic risk measures and risk allocations based on Markov chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth conditional marginal loss distribution given the so-called crisis event. By consi…
The paper models reciprocity in interbank markets using a statistical null model.
Model shows how confidence feedback can lead to different crisis outcomes.
Support Vector Machine (SVM) is powerful classification technique based on the idea of structural risk minimization. Use of kernel function enables curse of dimensionality to be addressed. However, proper kernel function for certain problem is dependent on specific dataset and as such there is no good method on choice …
Unsupervised learning filters tweets for emergency services during crises.
Decomposes financial networks to reveal cause-effect hierarchies during crises.
This paper intends to present the opportunities emerging for the national economy, out of the financial crisis. In particular the management of those, which arise from the commercial real estate owned property sector, defined by the author as crisis heritage management. On one hand, as real estate property prices are s…
The global financial crisis, beginning in 2008, took an historic toll on national economies around the world. Following equity market crashes, unemployment rates rose significantly in many countries: Italy was among those. What will be the impact of such large shocks on Italian healthcare finances? An empirical model f…