Extreme events are ubiquitous in nature and social society, including natural disasters, accident disasters, crises in public health (such as Ebola and the COVID-19 pandemic), and social security incidents (wars, conflicts, and social unrest). These extreme events will heavily impact financial...

We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two elements: 1) the Log Periodic Power Law (LPPL) model to describe endogenous price dynamics originated from positive feedback loops between economic agents; and 2) a diffusion...

We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag-lead structure between two arbitrary time series. The method consists in constructing a distance matrix based on the matching of all sample data pairs between the two time series. Then, the...

We consider the detection of multiple outliers in Exponential and Pareto samples -- as well as general samples that have approximately Exponential or Pareto tails, thanks to Extreme Value Theory. It is shown that a simple "robust'' modification of common test statistics makes inward sequential...

Abreu and Brunnermeier (2003) have argued that bubbles are not suppressed by arbitrageurs because they fail to synchronise on the uncertain beginning of the bubble. We propose an indirect quantitative test of this hypothesis and confront it with the alternative according to which bubbles persist...