Applying a nonlinear Schrödinger equation to volatility time series shows the gradient of the minimum eigenvalue spikes at the onset of rogue-wave-like events, detecting 7/8 major peaks in VIX and replicating on VXO and VSTOXX.
Global Omori law decay of triggered earthquakes: Large aftershocks outside the classi- cal aftershock zone.J
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Real-time identification of the onset of financial rogue waves
Applying a nonlinear Schrödinger equation to volatility time series shows the gradient of the minimum eigenvalue spikes at the onset of rogue-wave-like events, detecting 7/8 major peaks in VIX and replicating on VXO and VSTOXX.