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Dragon-Kings, Black Swans and the Prediction of Crises

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Cited by:

  1. Wiliński, M. & Sienkiewicz, A. & Gubiec, T. & Kutner, R. & Struzik, Z.R., 2013. "Structural and topological phase transitions on the German Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5963-5973.
  2. Kozłowska, M. & Denys, M. & Wiliński, M. & Link, G. & Gubiec, T. & Werner, T.R. & Kutner, R. & Struzik, Z.R., 2016. "Dynamic bifurcations on financial markets," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 126-142.
  3. Wosnitza, Jan Henrik & Leker, Jens, 2014. "Can log-periodic power law structures arise from random fluctuations?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 228-250.
  4. Pasca Lucian, 2015. "A Critical Review of the Main Approaches on Financial Market Dynamics Modelling," Journal of Heterodox Economics, Sciendo, vol. 2(2), pages 151-167, December.
  5. Petr Geraskin & Dean Fantazzini, 2013. "Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 366-391, May.
  6. Molina-Muñoz, Jesús & Mora-Valencia, Andrés & Perote, Javier, 2020. "Market-crash forecasting based on the dynamics of the alpha-stable distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  7. Domino, Krzysztof, 2020. "Multivariate cumulants in outlier detection for financial data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
  8. Darrell Jiajie Tay & Chung-I Chou & Sai-Ping Li & Shang You Tee & Siew Ann Cheong, 2016. "Bubbles Are Departures from Equilibrium Housing Markets: Evidence from Singapore and Taiwan," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-13, November.
  9. Glette-Iversen, Ingrid & Aven, Terje, 2021. "On the meaning of and relationship between dragon-kings, black swans and related concepts," Reliability Engineering and System Safety, Elsevier, vol. 211(C).
  10. A. Sienkiewicz & T. Gubiec & R. Kutner & Z. R. Struzik, 2013. "Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach," Papers 1301.6506, arXiv.org.
  11. Wouter Vermeer & Otto Koppius & Peter Vervest, 2018. "The Radiation-Transmission-Reception (RTR) model of propagation: Implications for the effectiveness of network interventions," PLOS ONE, Public Library of Science, vol. 13(12), pages 1-21, December.
  12. J. Lorenz & S. Battiston & F. Schweitzer, 2009. "Systemic risk in a unifying framework for cascading processes on networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 71(4), pages 441-460, October.
  13. Jerome L Kreuser & Didier Sornette, 2017. "Super-Exponential RE Bubble Model with Efficient Crashes," Swiss Finance Institute Research Paper Series 17-33, Swiss Finance Institute.
  14. Antoine Kornprobst & Raphaël Douady, 2015. "A Pratical Approach to Financial Crisis Indicators Based on Random Matrices," Post-Print halshs-01169307, HAL.
  15. Rebecca Westphal & Didier Sornette, 2020. "How market intervention can prevent bubbles and crashes," Swiss Finance Institute Research Paper Series 20-74, Swiss Finance Institute.
  16. V. Filimonov & G. Demos & D. Sornette, 2017. "Modified profile likelihood inference and interval forecast of the burst of financial bubbles," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1167-1186, August.
  17. Namaki, A. & Koohi Lai, Z. & Jafari, G.R. & Raei, R. & Tehrani, R., 2013. "Comparing emerging and mature markets during times of crises: A non-extensive statistical approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(14), pages 3039-3044.
  18. Shenae Lee & Gabriele Landucci & Genserik Reniers & Nicola Paltrinieri, 2019. "Validation of Dynamic Risk Analysis Supporting Integrated Operations Across Systems," Sustainability, MDPI, vol. 11(23), pages 1-25, November.
  19. Raphael Douady & Antoine Kornprobst, 2018. "An Empirical Approach To Financial Crisis Indicators Based On Random Matrices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-22, May.
  20. Rodríguez-Martínez, C.M. & Coronel-Brizio, H.F. & Hernández-Montoya, A.R., 2021. "A multi-scale symmetry analysis of uninterrupted trends returns in daily financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
  21. Neil Johnson & Guannan Zhao & Eric Hunsader & Jing Meng & Amith Ravindar & Spencer Carran & Brian Tivnan, 2012. "Financial black swans driven by ultrafast machine ecology," Papers 1202.1448, arXiv.org.
  22. Sergey Bredikhin & Jonathan Linton & Thais Matoszko, 2017. "Why and How the Value of Science-Based Firms Violates Financial Theory: Implications for Policy and Governance," Foresight-Russia Форсайт, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 11(1 (eng)), pages 24-30.
  23. Ahmad Hajihasani & Ali Namaki & Nazanin Asadi & Reza Tehrani, 2020. "Non-Extensive Value-at-Risk Estimation During Times of Crisis," Papers 2005.09036, arXiv.org, revised Jan 2021.
  24. Colman, E.R. & Rodgers, G.J., 2014. "Local rewiring rules for evolving complex networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 80-89.
  25. Timothy Davies, 2015. "Developing resilience to naturally triggered disasters," Environment Systems and Decisions, Springer, vol. 35(2), pages 237-251, June.
  26. F. A. Nava & V. H. Márquez-Ramírez & F. R. Zúñiga & C. Lomnitz, 2017. "Gutenberg–Richter b-value determination and large-magnitudes sampling," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 87(1), pages 1-11, May.
  27. Jiang, Zhi-Qiang & Xie, Wen-Jie & Zhou, Wei-Xing, 2014. "Testing the weak-form efficiency of the WTI crude oil futures market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 235-244.
  28. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
  29. Tödter, Karl-Heinz, 2010. "How useful is the carry-over effect for short-term economic forecasting?," Discussion Paper Series 1: Economic Studies 2010,21, Deutsche Bundesbank.
  30. Lorren K. Haywood & Greg G. Forsyth & Willem J. Lange & Douglas H. Trotter, 2017. "Contextualising risk within enterprise risk management through the application of systems thinking," Environment Systems and Decisions, Springer, vol. 37(2), pages 230-240, June.
  31. Judith Curry, 2011. "Reasoning about climate uncertainty," Climatic Change, Springer, vol. 108(4), pages 723-732, October.
  32. Christian Hugo Hoffmann & Charles Djordjevic, 2020. "Complexity, Power Laws and a Humean Argument in Risk Management: The Fundamental Inadequacy of Probability Theory as a Foundation for Modeling Complex Risk in Banking," Homo Oeconomicus: Journal of Behavioral and Institutional Economics, Springer, vol. 37(3), pages 155-182, December.
  33. Vakhtina, Elena & Wosnitza, Jan Henrik, 2015. "Capital market based warning indicators of bank runs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 417(C), pages 304-320.
  34. Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
  35. Wosnitza, Jan Henrik & Leker, Jens, 2014. "Why credit risk markets are predestined for exhibiting log-periodic power law structures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 393(C), pages 427-449.
  36. Filimonov, Vladimir & Sornette, Didier, 2015. "Power law scaling and “Dragon-Kings” in distributions of intraday financial drawdowns," Chaos, Solitons & Fractals, Elsevier, vol. 74(C), pages 27-45.
  37. Sinha, Amit & Horvath, Philip A. & Beason, Tyler & Roos, Kelly R., 2019. "Simulation of a financial market: The possibility of catastrophic disequilibrium," Chaos, Solitons & Fractals, Elsevier, vol. 125(C), pages 13-16.
  38. M. Wili'nski & A. Sienkiewicz & T. Gubiec & R. Kutner & Z. R. Struzik, 2013. "Structural and topological phase transitions on the German Stock Exchange," Papers 1301.2530, arXiv.org, revised Jul 2013.
  39. Rebecca Westphal & Didier Sornette, 2019. "Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model," Swiss Finance Institute Research Paper Series 19-29, Swiss Finance Institute.
  40. Vladimir Filimonov & Didier Sornette, 2014. "Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns," Papers 1407.5037, arXiv.org, revised Apr 2015.
  41. Daniel Traian Pele & Miruna Mazurencu-Marinescu & Peter Nijkamp, 2013. "Herding Behaviour, Bubbles and Log Periodic Power Laws in Illiquid Stock Markets. A Case Study on the Bucharest Stock Exchange," Tinbergen Institute Discussion Papers 13-109/VIII, Tinbergen Institute.
  42. Heinrich, Torsten, 2016. "The Narrow and the Broad Approach to Evolutionary Modeling in Economics," MPRA Paper 75797, University Library of Munich, Germany.
  43. Harras, Georges & Sornette, Didier, 2011. "How to grow a bubble: A model of myopic adapting agents," Journal of Economic Behavior & Organization, Elsevier, vol. 80(1), pages 137-152.
  44. Haas, Armin & Onischka, Mathias & Fucik, Markus, 2013. "Black swans, dragon kings, and Bayesian risk management," Economics Discussion Papers 2013-11, Kiel Institute for the World Economy (IfW Kiel).
  45. Safari, Muhammad Aslam Mohd & Masseran, Nurulkamal & Ibrahim, Kamarulzaman, 2018. "Optimal threshold for Pareto tail modelling in the presence of outliers," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 169-180.
  46. Westphal, Rebecca & Sornette, Didier, 2020. "Market impact and performance of arbitrageurs of financial bubbles in an agent-based model," Journal of Economic Behavior & Organization, Elsevier, vol. 171(C), pages 1-23.
  47. Christopher Lynch & Benjamin Mestel, 2017. "Logistic Model For Stock Market Bubbles And Anti-Bubbles," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-24, September.
  48. Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
  49. Peiwan Wang & Lu Zong, 2020. "Are Crises Predictable? A Review of the Early Warning Systems in Currency and Stock Markets," Papers 2010.10132, arXiv.org.
  50. Wosnitza, Jan Henrik & Denz, Cornelia, 2013. "Liquidity crisis detection: An application of log-periodic power law structures to default prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3666-3681.
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