In this paper, we draw upon the close relationship between statistical physics and mathematical finance to develop a suite of models for financial bubbles and crashes. By modifying previous approaches, we are able to derive novel analytical formulae for evaluation problems and for the expected...

In this paper we provide a unifying framework for a set of seemingly disparate models for exogenous and endogenous shocks in complex financial systems. Markets operate by balancing intrinsic levels of risk and return. This remains true even in the midst of transitory external shocks. Changes in...

We analyse takeovers in an industry with bilateral capital-linked firms in Cross Partial Ownerships (CPO). We find conditions for stable equilibria in takeovers with the target being inside or outside of a CPO arrangement. The impact of CPO upon profitability for the raider, the target and the...

The algorithmic trading revolution has had a dramatic effect upon markets. Trading has become faster, and in some ways more efficient, though potentially at the cost higher volatility and increased uncertainty. Stories of predatory trading and flash crashes constitute a new financial reality....

In this paper we discuss an exactly soluble statistical model for soccer. By taking into account key features of soccer matches (goals are rare, goal-scoring patterns are not well understood) we arrive at a version of the classical Poisson model but with constraints on the expected total number...

In this paper we develop models for multivariate financial bubbles and antibubbles based on statistical physics. In particular, we extend a rich set of univariate models to higher dimensions. Changes in market regime can be explicitly shown to represent a phase transition from random to...