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Why Stock Markets Crash
The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials. In this book, Didier Sornette boldly applies his varied experience in these areas to propose a simple, powerful, and general theory of how, why, and when stock markets crash. Most attempts to explain market failures seek to pinpoint triggering mechanisms that occur hours, days, or weeks before the collapse. Sornette proposes a radically different view: the underlying cause can be sought mont...
Extreme Financial Risks
"Clearly elucidates extreme financial risks associated with rare events such as financial crashes. The highlight of the book is the delineation of various copulas in conjunction with financial dependences among different assets of a portfolio. In particular, the insightful discussion on quadrant and orthant dependences casts new light on the connection between marginal models and financial dependence...brings a vivid portrayal of the subject." -- MATHEMATICAL REVIEWS
Critical Phenomena in Natural Sciences
A modern up-to-date introduction for readers outside statistical physics. It puts emphasis on a clear understanding of concepts and methods and provides the tools that can be of immediate use in applications.
Market Risk and Financial Markets Modeling
The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter School 2011 propose insights on many key issues and advances in financial markets modeling and risk measurement aiming to bridge the gap. The key addressed topics include: hierarchical and ultrametric models of financial crashes, dynamic hedging, arbitrage free modeling the term structure of interest rates, agent based modeling of order flow, asset pricing in a fractional market, hedge funds performance and many more.
Theory of Zipf's Law and Beyond
Zipf’s law is one of the few quantitative reproducible regularities found in e- nomics. It states that, for most countries, the size distributions of cities and of rms (with additional examples found in many other scienti c elds) are power laws with a speci c exponent: the number of cities and rms with a size greater thanS is inversely proportional toS. Most explanations start with Gibrat’s law of proportional growth but need to incorporate additional constraints and ingredients introducing deviations from it. Here, we present a general theoretical derivation of Zipf’s law, providing a synthesis and extension of previous approaches. First, we show that combining Gibrat’s law at all r...
The Great 1976 Tangshan Earthquake
From 1966 to 1976, four large earthquakes shook the Bohai Bay rift basin of Northeast China. This prompted the Chinese to launch one of the worldâ (TM)s largest social and science experiments into earthquake prediction that would engage tens of thousands of common people. The climax of this came in February 1975 where a prediction was made hours before the Haicheng earthquake struck. Evacuation of the city of Yingkou and some rural districts saved thousands of lives. The Chinese were jubilant, believing they had cracked the earthquake prediction conundrum. Eighteen months later, however, on the 28th July, 1976, jubilation turned to despair when a great earthquake flattened the large industr...
The Seneca Effect
The essence of this book can be found in a line written by the ancient Roman Stoic Philosopher Lucius Annaeus Seneca: "Fortune is of sluggish growth, but ruin is rapid". This sentence summarizes the features of the phenomenon that we call "collapse," which is typically sudden and often unexpected, like the proverbial "house of cards." But why are such collapses so common, and what generates them? Several books have been published on the subject, including the well known "Collapse" by Jared Diamond (2005), "The collapse of complex societies" by Joseph Tainter (1998) and "The Tipping Point," by Malcom Gladwell (2000). Why The Seneca Effect? This book is an ambitious attempt to pull these vario...
New Ways and Needs for Exploiting Nuclear Energy
The history of mankind is a story of ascent to unprecedented levels of comfort, productivity and consumption, enabled by the increased mastery of the basic reserves and flows of energy. This miraculous trajectory is confronted by the consensus that anthropogenic emissions are harmful and must decrease, requiring de-carbonization of the energy system. The mature field of indicator-based sustainability assessment provides a rigorous systematic framework to balance the pros and cons of the various existing energy technologies using lifecycle assessments and weighting criteria covering the environment, economy, and society, as the three pillars of sustainability. In such a framework, nuclear pow...
The Physics of Wall Street
A young scholar tells the story of the physicists and mathematicians who created the models that have become the basis of modern finance and argues that these models are the "solution" to--not the source of--our current economic woes.
Unifying Themes in Complex Systems
In recent years, scientists have applied the principles of complex systems science to increasingly diverse fields. The results have been nothing short of remarkable. The Third International Conference on Complex Systems attracted over 400 researchers from around the world. The conference aimed to encourage cross-fertilization between the many disciplines represented and to deepen our understanding of the properties common to all complex systems.
