Finance Research Seminar – Professor Giorgio Fazio

Title: Metastability in Financial Markets

Date: 30 September 2026

Time: 14:00 to 15:00

Venue: FDC.1.16

If you would like to attend, please register using the following link

Metastability in Financial Markets

Speaker: Professor Giorgio Fazio, Professor of Macroeconomics, NUBS

Profile | Newcastle University

Abstract:

In this paper, we consider financial markets as metastable systems and propose high-order inverse statistics to monitor financial (in)stability. Using daily data from Jan 1980 to July 2022 for the New York Stock Exchange (NYSE), NASDAQ Global Select, London Stock Exchange (LSE), and Tokyo Stock Exchange (TSE), we find evidence of Noise Enhanced Stability and Phase Transitions. Finally, we develop a new indicator of stock market instability.