arXiv · arXiv q-fin · 2025
Speculative bubbles exhibit common statistical signatures across many financial markets, suggesting the presence of universal underlying mechanisms. We test this hypothesis in the Iranian stock market, an economy that is highly isolated, subject to capital controls, and largely inaccessible to foreign investors. Using the Log-Periodic Power Law Singularity (LPPLS) model, we analyze two major bubble episodes in 2020 a…
Ali Hosseinzadeh
arXiv · arXiv q-fin · 2022
The rapid rise of cryptocurrency prices led to concerns (e.g. the Financial Stability Board) that this wealth accumulation could detrimentally spill over into other parts of the economy, but evidence is limited. We exploit the tendency for metaverses to issue their own cryptocurrencies along with non-fungible tokens (NFTs) representing virtual real estate ownership (LAND) to provide evidence of the wealth effect. Cry…
Kanis Saengchote
arXiv · arXiv q-fin · 2022
The event questions men whether it is political, cultural or touristic. It has its own meaning as it starts something while showing a will, a new possibility to create, to meet and to surprise. The event is in fact an "advent that reaches everything" generally integrating itself into a long process or phase of the evolution of societies in terms of its societal structure. However, if the event exists, it is significa…
Patrice Ballester
arXiv · arXiv q-fin · 2022
Given a real valued functional T on the space of bounded random variables, we investigate the problem of the existence of a conditional version of nonlinear means. We follow a seminal idea by Chisini (1929), defining a mean as the solution of a functional equation induced by T. We provide sufficient conditions which guarantee the existence of a (unique) solution of a system of infinitely many functional equations, wh…
Alessandro Doldi, Marco Maggis
arXiv · arXiv q-fin · 2021
We exploit a recent computational framework to model and detect financial crises in stock markets, as well as shock events in cryptocurrency markets, which are characterized by a sudden or severe drop in prices. Our method manages to detect all past crises in the French industrial stock market starting with the crash of 1929, including financial crises after 1990 (e.g. dot-com bubble burst of 2000, stock market downt…
Apostolos Chalkis, Emmanouil Christoforou, Theodore Dalamagkas, Ioannis Z. Emiris
arXiv · arXiv q-fin · 2018
We show that the emergence of systemic risk in complex systems can be understood from the evolution of functional networks representing interactions inferred from fluctuation correlations between macroscopic observables. Specifically, we analyze the long-term collective dynamics of the New York Stock Exchange between 1926-2016, showing that periods marked by systemic crisis, viz., around the Great Depression of 1929-…
Chandrashekar Kuyyamudi, Anindya S. Chakrabarti, Sitabhra Sinha
arXiv · arXiv q-fin · 2016
The interest rates (or nominal yields) can be negative, this is an unavoidable fact which has already been visible during the Great Depression (1929-39). Nowadays we can find negative rates easily by e.g. auditing. Several theoretical and practical ideas how to model and eventually overcome empirical negative rates can be suggested, however, they are far beyond a simple practical realization. In this paper we discuss…
Jozef Kiselak, Philipp Hermann, Milan Stehlik
arXiv · arXiv q-fin · 2013
Jan Tinbergen, the first recipient of the Nobel Memorial Prize in Economics in 1969, obtained his PhD in physics at the University of Leiden under the supervision of Paul Ehrenfest in 1929. Among many achievements as an economist after his training as a physicist, Tinbergen proposed the so-called Gravity Model of international trade. The model predicts that the intensity of trade between two countries is described by…
Tiziano Squartini, Diego Garlaschelli
arXiv · arXiv q-fin · 2012
Following the thermodynamic formulation of multifractal measure that was shown to be capable of detecting large fluctuations at an early stage, here we propose a new index which permits us to distinguish events like financial crisis in real time . We calculate the partition function from where we obtain thermodynamic quantities analogous to free energy and specific heat. The index is defined as the normalized energy …
Eder Lucio Fonseca, Fernando F. Ferreira, Paulsamy Muruganandam, Hilda A. Cerdeira
arXiv · arXiv q-fin · 2011
We provide direct evidence of market manipulation at the beginning of the financial crisis in November 2007. The type of manipulation, a "bear raid," would have been prevented by a regulation that was repealed by the Securities and Exchange Commission in July 2007. The regulation, the uptick rule, was designed to prevent manipulation and promote stability and was in force from 1938 as a key part of the government res…
Vedant Misra, Marco Lagi, Yaneer Bar-Yam
arXiv · arXiv q-fin · 2011
Financial markets are systems with the complex behavior, that can be hardly analyzed by means of linear methods. Recurrence Quantification Analysis (RQA) is a nonlinear methodology, which is able to work with the nonstationary and short data series. Thus, we apply RQA for the studying of the critical events on financial markets. For the present research, stock crashes of DJI 1929; DJI, NYSE and S&P500 1987; NASDAQ 20…
Oleksandr Piskun, Sergii Piskun
arXiv · arXiv q-fin · 2000
The Nasdaq Composite fell another $\approx 10 %$ on Friday the 14'th of April 2000 signaling the end of a remarkable speculative high-tech bubble starting in spring 1997. The closing of the Nasdaq Composite at 3321 corresponds to a total loss of over 35% since its all-time high of 5133 on the 10'th of March 2000. Similarities to the speculative bubble preceding the infamous crash of October 1929 are quite striking: t…
Anders Johansen, Didier Sornette
arXiv · arXiv q-fin · 1999
We argue that the word ``critical'' in the title is not purely literary. Based on our and other previous work on nonlinear complex dynamical systems, we summarize present evidence, on the Oct. 1929, Oct. 1987, Oct. 1987 Hong-Kong, Aug. 1998 global market events and on the 1985 Forex event, for the hypothesis advanced four years ago that stock market crashes are caused by the slow buildup of long-range correlations be…
Anders Johansen, Didier Sornette
arXiv · arXiv q-fin · 1997
The self-similar analysis of time series, suggested earlier by the authors, is applied to the description of market crises. The main attention is payed to the October 1929, 1987 and 1997 stock market crises, which can be successfully treated by the suggested approach. The analogy between market crashes and critical phenomena is emphasized.
S. Gluzman, V. I. Yukalov