Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Sebastian M Krause"'
Publikováno v:
PLoS ONE, Vol 13, Iss 5, p e0196920 (2018)
In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extreme Events in stock market data. In contrast to popular belief, our ana
Externí odkaz:
https://doaj.org/article/6b3183d5e25c4676ab334d8fdccd3dd5
Publikováno v:
PLoS ONE, Vol 8, Iss 12, p e80303 (2013)
We introduce a model for the adaptive evolution of a network of company ownerships. In a recent work it has been shown that the empirical global network of corporate control is marked by a central, tightly connected "core" made of a small number of l
Externí odkaz:
https://doaj.org/article/1467b11f38da4237b577ae13407475b4
The distribution of liquidity within the limit order book is essential for the impact of market orders on the stock price and the emergence of price shocks. Limit orders are characterized by stylized facts: the number of inserted limit orders decline
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1d569352a1ecebf65ff1d80b34ae8bb4
http://arxiv.org/abs/2106.11691
http://arxiv.org/abs/2106.11691
Publikováno v:
Physical Review E
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk evaluation which
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2c228e0069c15a876e3e404febf44ae8
https://doi.org/10.1103/physreve.103.042304
https://doi.org/10.1103/physreve.103.042304
Publikováno v:
Physical Review X, Vol 6, Iss 4, p 041022 (2016)
In many complex systems representable as networks, nodes can be separated into different classes. Often these classes can be linked to a mutually shared vulnerability. Shared vulnerabilities may be due to a shared eavesdropper or correlated failures.
Externí odkaz:
https://doaj.org/article/46d7607726fa4753aa68eb90eea6eeb2
The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary patterns, referred to as market states, are seen by applying clustering
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7ea01dd3fc8924f5c6885587f4f9e55a
https://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&origin=inward&scp=85096069854
https://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&origin=inward&scp=85096069854
Recent research on the response of stock prices to trading activity revealed long lasting effects, even across stocks of different companies. These results imply non-Markovian effects in price formation and when trading many stocks at the same time,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::14b5eea5a7a344d5852e2fe5034ee08e
Opinion formation is a process with strong implications for public policy. In controversial debates with large consequences, the public opinion is often trapped in a fifty-fifty stalemate, jeopardizing broadly accepted political decisions. Emergent e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2d2696fcc181369f75a444657a5e2379
Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the other hand, financial markets show various stylized facts which are rem
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7b865661c07edd5cc287ad5735f141fa
http://arxiv.org/abs/1812.07369
http://arxiv.org/abs/1812.07369
Publikováno v:
Physical Review E
Recently the problem of classes of vulnerable vertices (represented by colors) in complex networks has been discussed, where all vertices with the same vulnerability are prone to fail together. Utilizing redundant paths each avoiding one vulnerabilit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d4441f79623b8722ec246552b55847c0