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

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 82, Issue 3, 2010, Pages

  Petersen, Alexander M ^a   Wang, Fengzhong ^a   Havlin, Shlomo ^a,b   Stanley, H Eugene ^a  

^a Boston University   (United States)

^b BAR ILAN UNIVERSITY   (Israel)

Author keywords

[No Author keywords available]

Indexed keywords

BEFORE AND AFTER; EMPIRICAL LAWS; HIGH VOLATILITY; MAIN SHOCK; MARKET DYNAMICS; MARKET VOLATILITY; OMORI LAW; OPTION PRICING; POTENTIAL UTILITY; PRESHOCKS; QUANTITATIVE RELATIONS; SOLAR FLARE; TIME RESOLUTION; VOLATILITY TRADING;

EARTHQUAKE EFFECTS; ECONOMICS; PRODUCTIVITY;

COMMERCE;

EID: 78651245148     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.82.036114     Document Type: Article

References (67)

1. E. F. Fama, J. Business 38, 34 (1965). 10.1086/294743
2. Z. Ding, C. W. J. Granger, and R. F. Engle, J. Empirical Finance 1, 83 (1993). 10.1016/0927-5398(93)90006-D
3. B. Mandelbrot, J. Business 36, 394 (1963). 10.1086/294632
4. R. N. Mantegna and H. E. Stanley, Econophysics: An Introduction (Cambridge University Press, Cambridge, England, 1999). 10.1017/CBO9780511755767
5. J. P. Bouchaud and M. Potters, Theory of Financial Risk (Cambridge University Press, Cambridge, England, 2000).
6. J. P. Bouchaud, Quant. Finance 1, 105 (2001). 10.1080/713665538
7. X. Gabaix, P. Gopikrishnan, V. Plerou, and H. E. Stanley, Nature (London) 423, 267 (2003). 10.1038/nature01624
8. J. D. Farmer, M. Shubik, and E. Smith, Phys. Today 58 (9), 37 (2005). 10.1063/1.2117821
9. X. Gabaix, P. Gopikrishnan, V. Plerou, and H. E. Stanley, Q. J. Econ. 121, 461 (2006). 10.1162/qjec.2006.121.2.461
10. F. Omori, J. Coll. Sci., Imp. Univ. Tokyo 7, 111 (1894).
11. T. Utsu, Geophys. Mag. 30, 521 (1961).
12. S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, and Y. Dodge, Nature (London) 381, 767 (1996). 10.1038/381767a0
13. F. Lillo and R. N. Mantegna, Phys. Rev. E 68, 016119 (2003). 10.1103/PhysRevE.68.016119
14. P. Weber, F. Wang, I. Vodenska-Chitkushev, S. Havlin, and H. E. Stanley, Phys. Rev. E 76, 016109 (2007). 10.1103/PhysRevE.76.016109
15. A. M. Petersen, F. Wang, S. Havlin, and H. E. Stanley, Phys. Rev. E 81, 066121 (2010). 10.1103/PhysRevE.81.066121
16. J. D. Hamilton and O. Jorda, J. Polit. Econ. 110, 1135 (2002). 10.1086/341872
17. J. D. Hamilton, J. Money, Credit Banking 41, 567 (2009). 10.1111/j.1538-4616.2009.00223.x
18. D. Sornette and A. Helmstetter, Physica A 318, 577 (2003). 10.1016/S0378-4371(02)01371-7
19. D. Sornette, Y. Malevergne, and J. F. Muzy, Risk 16, 67 (2003).
20. New York Times article archive, 1981-present, http://www.nytimes.com/ref/ membercenter/nytarchive.html
21. A. G. Zawadowski, G. Andor, and J. Kertész, Quant. Finance 6, 283 (2006). 10.1080/14697680600699894
22. A. Joulin, A. Lefevre, D. Grunberg, and J. P. Bouchaud, Wilmott Magazine 46, 1 (2008)
23. e-print arXiv:0803.1769.
24. A. Ponzi, F. Lillo, and R. N. Mantegna, Phys. Rev. E 80, 016112 (2009). 10.1103/PhysRevE.80.016112
25. F. Wang, S.-J. Shieh, S. Havlin, and H. E. Stanley, Phys. Rev. E 79, 056109 (2009). 10.1103/PhysRevE.79.056109
26. K. Yamasaki, L. Muchnik, S. Havlin, A. Bunde, and H. E. Stanley, Proc. Natl. Acad. Sci. U.S.A. 102, 9424 (2005). 10.1073/pnas.0502613102
27. F. Wang, K. Yamasaki, S. Havlin, and H. E. Stanley, Phys. Rev. E 73, 026117 (2006). 10.1103/PhysRevE.73.026117
28. F. Wang, P. Weber, K. Yamasaki, S. Havlin, and H. E. Stanley, Eur. Phys. J. B 55, 123 (2007). 10.1140/epjb/e2006-00356-9
29. R. N. Mantegna, Eur. Phys. J. B 11, 193 (1999). 10.1007/s100510050929
30. L. Laloux, P. Cizeau, J. P. Bouchaud, and M. Potters, Phys. Rev. Lett. 83, 1467 (1999). 10.1103/PhysRevLett.83.1467
31. V. Plerou, P. Gopikrishnan, B. Rosenow, L. A. Nunes Amaral, and H. E. Stanley, Phys. Rev. Lett. 83, 1471 (1999). 10.1103/PhysRevLett.83.1471
32. V. Plerou, P. Gopikrishnan, B. Rosenow, Luis A. Nunes Amaral, T. Guhr, and H. E. Stanley, Phys. Rev. E 65, 066126 (2002). 10.1103/PhysRevE.65.066126
33. Historical Data for Key Federal Reserve Interest Rates, http://www.federalreserve.gov/releases/h15/data.htm; http://www.federalreserve. gov/fomc/fundsrate.htm
34. V. Plerou, P. Gopikrishnan, L. A. Nunes Amaral, M. Meyer, and H. E. Stanley, Phys. Rev. E 60, 6519 (1999). 10.1103/PhysRevE.60.6519
35. P. Gopikrishnan, V. Plerou, L. A. Nunes Amaral, M. Meyer, and H. E. Stanley, Phys. Rev. E 60, 5305 (1999). 10.1103/PhysRevE.60.5305
36. L. de Arcangelis, C. Godano, E. Lippiello, and M. Nicodemi, Phys. Rev. Lett. 96, 051102 (2006). 10.1103/PhysRevLett.96.051102
37. L. de Arcangelis, E. Lippiello, C. Godano, and M. Nicodemi, Eur. Phys. J. B 64, 551 (2008). 10.1140/epjb/e2008-00057-5
38. G. Drakatos and J. Latoussakis, J. Seismol. 5, 137 (2001). 10.1023/A:1011473432628
39. A. Helmstetter, Phys. Rev. Lett. 91, 058501 (2003). 10.1103/PhysRevLett. 91.058501
40. A. Saichev and D. Sornette, Tectonophysics 431, 7 (2007). 10.1016/j.tecto.2006.05.026
41. A. Saichev and D. Sornette, Phys. Rev. E 70, 046123 (2004). 10.1103/PhysRevE.70.046123
42. M. Bottiglieri, L. de Arcangelis, C. Godano, and E. Lippiello, Phys. Rev. Lett. 104, 158501 (2010). 10.1103/PhysRevLett.104.158501
43. S. Demiralp and O. Jordá, Federal Reserve Bank of New York, Economic Policy Review 8 (1), pp. 29-48 (2002).
44. G. Ouillon and D. Sornette, J. Geophys. Res. 110, B04306 (2005). 10.1029/2004JB003311
45. I. Eliazar and J. Klafter, Proc. Natl. Acad. Sci. U.S.A. 102, 13779 (2005). 10.1073/pnas.0506816102
46. A. N. Kolmogorov, Proc. R. Soc. London, Ser. A 434, 9 (1991). 10.1098/rspa.1991.0075
47. P. Ch. Ivanov, L. A. N. Amaral, A. L. Goldberger, S. Havlin, M. G. Rosenblum, Z. Struzik, and H. E. Stanley, Nature (London) 399, 461 (1999). 10.1038/20924
48. D. C. Lin and R. L. Hughson, Phys. Rev. Lett. 86, 1650 (2001). 10.1103/PhysRevLett.86.1650
49. B. Suki, A.-L. Barabasi, Z. Hantos, F. Petak, and H. E. Stanley, Nature (London) 368, 615 (1994). 10.1038/368615a0
50. A. M. Alencar, S. V. Buldyrev, A. Majumdar, H. E. Stanley, and B. Suki, Phys. Rev. Lett. 87, 088101 (2001). 10.1103/PhysRevLett.87.088101
51. T. Petermann, T. C. Thiagarajan, M. A. Lebedev, M. A. L. Nicolelis, and D. R. Chialvo, Proc. Natl. Acad. Sci. U.S.A. 106, 15921 (2009). 10.1073/pnas.0904089106
52. D. Plenz and D. R. Chialvo, e-print arXiv:0912.5369.
53. J. Touboul and A. Destexhe, PLoS ONE 5, e8982 (2010). 10.1371/journal.pone.0008982
54. R. Crane and D. Sornette, Proc. Natl. Acad. Sci. U.S.A. 105, 15649 (2008). 10.1073/pnas.0803685105
55. A. Vázquez, J. Gama Oliveira, Z. Dezsö, K.-I. Goh, I. Kondor, and A.-L. Barabási, Phys. Rev. E 73, 036127 (2006). 10.1103/PhysRevE.73. 036127
56. K.-L. Goh and A.-L. Barabási, EPL 81, 48002 (2008). 10.1209/0295-5075/81/48002
57. D. Rybski, S. Buldyrev, S. Havlin, F. Liljeros, and H. A. Makse, Proc. Natl. Acad. Sci. U.S.A. 106, 12640 (2009). 10.1073/pnas.0902667106
58. D. Morse, J. Account. Res. 19, 374 (1981). 10.2307/2490871
59. O. Kim and R. E. Verrecchia, J. Account. Res. 29, 302 (1991). 10.2307/2491051
60. T. Preis and H. E. Stanley, J. Stat. Phys. 138, 431 (2010). 10.1007/s10955-009-9914-y
61. R. Cont, M. Potters, and J. P. Bouchaud, Proceedings of the Les Houches Workshop, Les Houches, France, 1997 (Springer, Berlin, 1997), pp. 1-11.
62. Y. Liu, P. Cizeau, M. Meyer, C.-K. Peng, and H. E. Stanley, Physica A 245, 437 (1997); 10.1016/S0378-4371(97)00368-3
63. P. Cizeau, Y. Liu, M. Meyer, C.-K. Peng, and H. E. Stanley, Physica A 245, 441 (1997). 10.1016/S0378-4371(97)00417-2
64. Y. Liu, P. Gopikrishnan, P. Cizeau, M. Meyer, C.-K. Peng, and H. E. Stanley, Phys. Rev. E 60, 1390 (1999). 10.1103/PhysRevE.60.1390
65. B. Podobnik, D. Horvatic, A. M. Petersen, and H. E. Stanley, Proc. Natl. Acad. Sci. U.S.A. 106, 22079 (2009). 10.1073/pnas.0911983106
66. B. E. Baaquie, Quantum Finance: Path Integrals and Hamiltonians for Options and Interest Rates (Cambridge University Press, Cambridge, UK, 2004). 10.1017/CBO9780511617577
67. J. P. Bouchaud and D. Sornette, J. Phys. I 4, 863 (1994). 10.1051/jp1:1994233