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 reveals 2020 stock crashes were mostly endogenous, not exogenous.
The paper models market crashes as phase transitions, finding dynamic transitions offer better predictions.
Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attack or of the coup against Gorbachev on Aug., 19, 1991 from financial crashes such as Oct. 1987 as well as smaller volatility bursts? Using a …
We perform an extended analysis of the distribution of drawdowns in the two leading exchange markets (US dollar against the Deutsmark and against the Yen), in the major world stock markets, in the U.S. and Japanese bond market and in the gold market, by introducing the concept of ``coarse-grained drawdowns,'' which all…
Modeling financial bubbles and crashes with a cubic momentum function.
Study reveals the 2020 U.S. stock crash was endogenous, not caused by COVID.
Model explains stock price bubbles through debt crises and financial crashes.
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 …
A nonlinear differential equation of Sornette-Ide type with noise, for a complex variable, yields endogenous crashes, preceded by roughly log-periodic oscillations in the real part, and a strong increase in the imaginary part. The latter is interpreted as the trader expectation.
This paper highlights the role of risk neutral investors in generating endogenous bubbles in derivatives markets. We find that a market for derivatives, which has all the features of a perfect market except completeness and has some risk neutral investors, can exhibit extreme price movements which represent a violation…
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…
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous, we envision either fluctuations resulting from an underlying chaotic dynamics or from a stochastic forcing origin which ma…
For this special issue, the article aims at discussing a few econophysics problems studied so far rather successfully. The following "applications" in micro-econo-physics are considered : (i) financial crashes; it is emphasized that one can distinguish between endogenous and exogenous causes; (ii) portofolio control, s…
Oft-cited causes of mini-flash crashes include human errors, endogenous feedback loops, the nature of modern liquidity provision, fundamental value shocks, and market fragmentation. We develop a mathematical model which captures aspects of the first three explanations. Empirical features of recent mini-flash crashes ar…
We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional Poisson Hawkes model, whi…
Funds inflate their returns due to price pressure, leading to wealth reallocation and market crashes.
The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To this end, we designed, implemented, and assessed a hybrid micro-macro agent-based model, where price impact arises endogenously throu…
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling framework to analyze the effects of trading frequency on market liquidity in a ve…
New method identifies precursors of financial crises in market correlation structures.
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 their portfolios.The stock price is set according to the demand-supply for the …
New measures detect asymmetries, non-linearity in stock returns.
Model optimal liquidation in asset bubbles with varying entry times.
OMD monitors stock market dynamics through matrix trajectories, revealing crisis patterns and sector rotations.
This study analyzes cryptocurrency market crashes using complex network analysis.
Study shows economic policy uncertainty increases stock market crash risk during pandemic.
This study uses ARM to analyze pedestrian crashes under different lighting conditions.
Predicts stock market crashes using rational bubble model.
Study examines financial market structure changes during the COVID-19 crash using a novel MI approach.
Imitative and contrarian behaviors are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock market where agents can take only two states, bullish or bearish. Each bullish (bearish) agent polls m "friends'' and changes her opinion to bear…
This paper uses machine learning to estimate how different types of crashes affect highway traffic.
This study identifies RwD crash patterns on rural two-lane highways under different lighting conditions.
Study finds a phase transition in flash crashes involving large and liquid stocks.
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…
The paper tackles reinforcement learning with exogenous variables and rewards.
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…
Existence of incomplete Radner equilibrium with endogenous noise tracker.
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…
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 …