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Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws

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Cited by:

  1. Tobias Braun & Jonas A Fiegen & Daniel C Wagner & Sebastian M Krause & Thomas Guhr, 2018. "Impact and recovery process of mini flash crashes: An empirical study," PLOS ONE, Public Library of Science, vol. 13(5), pages 1-11, May.
  2. Oh, Gabjin & Kim, Ho-yong & Ahn, Seok-Won & Kwak, Wooseop, 2015. "Analyzing the financial crisis using the entropy density function," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 464-469.
  3. Zhi-Qiang Jiang & Gang-Jin Wang & Askery Canabarro & Boris Podobnik & Chi Xie & H. Eugene Stanley & Wei-Xing Zhou, 2018. "Short term prediction of extreme returns based on the recurrence interval analysis," Quantitative Finance, Taylor & Francis Journals, vol. 18(3), pages 353-370, March.
  4. Bentian Li & Dechang Pi, 2018. "Analysis of global stock index data during crisis period via complex network approach," PLOS ONE, Public Library of Science, vol. 13(7), pages 1-16, July.
  5. Araújo, Tanya & Eleutério, Samuel & Louçã, Francisco, 2018. "Do sentiments influence market dynamics? A reconstruction of the Brazilian stock market and its mood," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 1139-1149.
  6. Ladislav Kristoufek, 2013. "Can Google Trends search queries contribute to risk diversification?," Papers 1310.1444, arXiv.org.
  7. Pagnottoni, Paolo & Spelta, Alessandro & Pecora, Nicolò & Flori, Andrea & Pammolli, Fabio, 2021. "Financial earthquakes: SARS-CoV-2 news shock propagation in stock and sovereign bond markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
  8. Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Novel and topical business news and their impact on stock market activities," UTokyo Price Project Working Paper Series 055, University of Tokyo, Graduate School of Economics.
  9. Tahira, Yoshifumi & Mizuno, Takayuki, 2016. "Amount of news before stock market fluctuations," HIT-REFINED Working Paper Series 45, Institute of Economic Research, Hitotsubashi University.
  10. Xiao, Weilin & Zhang, Weiguo & Zhang, Xili & Chen, Xiaoyan, 2014. "The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 320-337.
  11. Yan Li & Bo Zheng & Ting-Ting Chen & Xiong-Fei Jiang, 2017. "Fluctuation-driven price dynamics and investment strategies," PLOS ONE, Public Library of Science, vol. 12(12), pages 1-15, December.
  12. Tobias Braun & Jonas A. Fiegen & Daniel C. Wagner & Sebastian M. Krause & Thomas Guhr, 2017. "Impact and Recovery Process of Mini Flash Crashes: An Empirical Study," Papers 1707.05580, arXiv.org.
  13. Hai-Chuan Xu & Wei Zhang & Yi-Fang Liu, 2013. "Short-term Market Reaction after Trading Halts in Chinese Stock Market," Papers 1309.1138, arXiv.org, revised Jun 2014.
  14. Federico Botta & Helen Susannah Moat & H Eugene Stanley & Tobias Preis, 2015. "Quantifying Stock Return Distributions in Financial Markets," PLOS ONE, Public Library of Science, vol. 10(9), pages 1-10, September.
  15. Gresnigt, Francine & Kole, Erik & Franses, Philip Hans, 2015. "Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 123-139.
  16. Siokis, Fotios M., 2012. "Stock market dynamics: Before and after stock market crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1315-1322.
  17. Zitis, Pavlos I. & Contoyiannis, Yiannis & Potirakis, Stelios M., 2022. "Critical dynamics related to a recent Bitcoin crash," International Review of Financial Analysis, Elsevier, vol. 84(C).
  18. Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Novel and topical business news and their impact on stock market activities," Papers 1507.06477, arXiv.org.
  19. da Cunha, C.R. & da Silva, R., 2020. "Relevant stylized facts about bitcoin: Fluctuations, first return probability, and natural phenomena," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
  20. Zhaoyuan Li & Maozai Tian, 2017. "A New Method For Dynamic Stock Clustering Based On Spectral Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 373-392, October.
  21. Potirakis, Stelios M. & Zitis, Pavlos I. & Eftaxias, Konstantinos, 2013. "Dynamical analogy between economical crisis and earthquake dynamics within the nonextensive statistical mechanics framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(13), pages 2940-2954.
  22. Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo, 2015. "Collective synchronization and high frequency systemic instabilities in financial markets," Papers 1505.00704, arXiv.org.
  23. Xu, Hai-Chuan & Zhang, Wei & Liu, Yi-Fang, 2014. "Short-term market reaction after trading halts in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 103-111.
  24. Tang, Yong & Luo, Yong & Xiong, Jie & Zhao, Fei & Zhang, Yi-Cheng, 2013. "Impact of monetary policy changes on the Chinese monetary and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4435-4449.
  25. C. R. da Cunha & R. da Silva, 2019. "Relevant Stylized Facts About Bitcoin: Fluctuations, First Return Probability, and Natural Phenomena," Papers 1905.03211, arXiv.org.
  26. Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Novel and topical business news and their impact on stock market activities," CARF F-Series CARF-F-366, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  27. James, Nick & Menzies, Max, 2023. "An exploration of the mathematical structure and behavioural biases of 21st century financial crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
  28. X. F. Jiang & T. T. Chen & B. Zheng, 2013. "Time-reversal asymmetry in financial systems," Papers 1308.0669, arXiv.org.
  29. Fotios M. Siokis, 2024. "Exploring the Dynamic Behavior of Crude Oil Prices in Times of Crisis: Quantifying the Aftershock Sequence of the COVID-19 Pandemic," Mathematics, MDPI, vol. 12(17), pages 1-13, September.
  30. Yoshifumi Tahira & Takayuki Mizuno, 2016. "Trading strategy of a stock index based on the frequency of news releases for listed companies," Evolutionary and Institutional Economics Review, Springer, vol. 13(2), pages 437-444, December.
  31. Jiang, X.F. & Chen, T.T. & Zheng, B., 2013. "Time-reversal asymmetry in financial systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5369-5375.
  32. Christopher M Wray & Steven R Bishop, 2016. "A Financial Market Model Incorporating Herd Behaviour," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-28, March.
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