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Power law relaxation in a complex system: Omori law after a financial market crash

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Cited by:

  1. 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.
  2. John Fry, 2014. "Bubbles, shocks and elementary technical trading strategies," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 87(1), pages 1-13, January.
  3. Rami Ahmad El-Nabulsi & Waranont Anukool, 2025. "Qualitative financial modelling in fractal dimensions," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-47, December.
  4. Gao, Jianbo & Hu, Jing, 2014. "Financial crisis, Omori's law, and negative entropy flow," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 79-86.
  5. 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).
  6. Mu, Guo-Hua & Zhou, Wei-Xing, 2008. "Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5211-5218.
  7. Xavier Gabaix, 2009. "Power Laws in Economics and Finance," Annual Review of Economics, Annual Reviews, vol. 1(1), pages 255-294, May.
  8. Negrea, Bogdan, 2014. "A statistical measure of financial crises magnitude," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 397(C), pages 54-75.
  9. 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.
  10. Cai, Mei-Ling & Chen, Zhang-HangJian & Li, Sai-Ping & Xiong, Xiong & Zhang, Wei & Yang, Ming-Yuan & Ren, Fei, 2022. "New volatility evolution model after extreme events," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
  11. X. F. Jiang & T. T. Chen & B. Zheng, 2013. "Time-reversal asymmetry in financial systems," Papers 1308.0669, arXiv.org.
  12. Selçuk, Faruk & Gençay, Ramazan, 2006. "Intraday dynamics of stock market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 375-387.
  13. El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2013. "On the pricing and hedging of options for highly volatile periods," MPRA Paper 45272, University Library of Munich, Germany.
  14. P. Peirano & D. Challet, 2012. "Baldovin-Stella stochastic volatility process and Wiener process mixtures," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 85(8), pages 1-12, August.
  15. Siokis, Fotios M., 2012. "The dynamics of a complex system: The exchange rate crisis in Southeast Asia," Economics Letters, Elsevier, vol. 114(1), pages 98-101.
  16. 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.
  17. Fry, J. M., 2010. "Gaussian and non-Gaussian models for financial bubbles via econophysics," MPRA Paper 27307, University Library of Munich, Germany.
  18. Chiappari, Mattia & Scotti, Francesco & Flori, Andrea, 2024. "Market responses to spillovers in the energy commodity markets: Evaluating short-term vs. long-term effects and business-as-usual vs. distressed phases," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  19. L. Borland & J. -Ph. Bouchaud, 2005. "On a multi-timescale statistical feedback model for volatility fluctuations," Papers physics/0507073, arXiv.org.
  20. 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.
  21. Andrada-Félix, Julián & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2024. "A crisis like no other? Financial market analogies of the COVID-19-cum-Ukraine war crisis," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  22. J. Doyne Farmer & Laszlo Gillemot & Fabrizio Lillo & Szabolcs Mike & Anindya Sen, 2004. "What really causes large price changes?," Quantitative Finance, Taylor & Francis Journals, vol. 4(4), pages 383-397.
  23. Challet, Damien & Peirano, Pier Paolo, 2008. "The ups and downs of the renormalization group applied to financial time series," MPRA Paper 9770, University Library of Munich, Germany.
  24. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
  25. Yang, Ming-Yuan & Li, Sai-Ping & Wu, Yue & Tang, Jingtai & Ren, Fei, 2019. "Do government rescue policies reduce the market volatility after crash? Evidence from the Shanghai stock market," Finance Research Letters, Elsevier, vol. 29(C), pages 117-124.
  26. Adam Zawadowski & Gyorgy Andor & Janos Kertesz, 2006. "Short-term market reaction after extreme price changes of liquid stocks," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 283-295.
  27. Lisa Borland & Jean-Philippe Bouchaud, 2005. "On a multi-timescale statistical feedback model for volatility fluctuations," Science & Finance (CFM) working paper archive 500059, Science & Finance, Capital Fund Management.
  28. 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).
  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. Christian Bongiorno & Marco Berritta, 2023. "Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory," Papers 2304.14098, arXiv.org, revised Apr 2023.
  31. Selçuk, Faruk, 2004. "Financial earthquakes, aftershocks and scaling in emerging stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 306-316.
  32. R'emy Chicheportiche & Jean-Philippe Bouchaud, 2012. "The fine-structure of volatility feedback I: multi-scale self-reflexivity," Papers 1206.2153, arXiv.org, revised Sep 2013.
  33. Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda, 2014. "Micro and Macro Benefits of Random Investments in Financial Markets," Papers 1405.5805, arXiv.org.
  34. Boon Kin Teh & Siew Ann Cheong, 2016. "The Asian Correction Can Be Quantitatively Forecasted Using a Statistical Model of Fusion-Fission Processes," PLOS ONE, Public Library of Science, vol. 11(10), pages 1-13, October.
  35. 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.
  36. Fry, John, 2012. "Exogenous and endogenous crashes as phase transitions in complex financial systems," MPRA Paper 36202, University Library of Munich, Germany.
  37. 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.
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