A crisis in financial markets can be considered as a collective behaviour phenomenon. The
collective behaviour is a complex behaviour which exists among a group of animals. The …

We study precursors to the global market crash that occurred on all main stock exchanges
throughout he world in October 2008 about three weeks after the bankruptcy of Lehman …

Fractal Market Hypothesis speaks about financial markets that consist of investors, each of
them having different trading time horizon under which they operate. It states that a financial …

One of the main contributions of the Capital Assets Pricing Model (CAPM) to portfolio theory
was to explain the correlation between assets through its relationship with the market index …

Any non-linear dynamic system can be checked for structural properties only at the time of
extremes/crises. Hence, in this research article we tried to investigate stock markets for …

Financial market models are able to help the investors foresee the risk of a financial market
crash and reduce the probability of its occurrence. Modelling in financial markets is …

This study investigates financial states and group dynamics by applying principal
component analysis to the cross-correlation coefficients of the daily returns of commodity …

Collective behaviors taking place in financial markets reveal strongly correlated states
especially during a crisis period. A natural hypothesis is that trend reversals are also driven …

Previous research explored various conditions of financial markets based on the similarity of
correlation structures and classified as market states. We introduce modifications to previous …

This paper proposes a model of international financial crises that is based on the statistical
mechanics. In our model the international stock market is composed of two groups of traders …