Critical market crashes

DOI10.1016/S0370-1573(02)00634-8zbMath1011.91036arXivcond-mat/0301543WikidataQ56094684 ScholiaQ56094684MaRDI QIDQ1867905

Didier Sornette

Publication date: 2 April 2003

Published in: Physics Reports (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0301543

zbMATH Keywords

instabilitiespositive feedbacksfrequency distribution

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

Optimal allocation of trend following strategies ⋮ Modelling trading networks and the role of trust ⋮ Dynamics of unperturbed and noisy generalized Boolean networks ⋮ Punctuated evolution due to delayed carrying capacity ⋮ Level crossing analysis of the stock markets ⋮ Péclet number governs transition to acceleratory restart in drift-diffusion ⋮ Power law in firms bankruptcy ⋮ Stochastic modelling of non-stationary financial assets ⋮ Universal characteristics of fractal fluctuations in prime number distribution ⋮ Dynamical analogy between economical crisis and earthquake dynamics within the nonextensive statistical mechanics framework ⋮ Liquidity crisis detection: an application of log-periodic power law structures to default prediction ⋮ On time scale invariance of random walks in confined space ⋮ A quantum mechanics for interest rate derivatives markets ⋮ Oscillations in \(p\)-adic diffusion processes and simulation of the conformational dynamics of protein ⋮ Chaos measure dynamics in a multifactor model for financial market predictions ⋮ Scaling invariance embedded in very short time series: a factorial moment based diffusion entropy approach ⋮ Early warning on stock market bubbles via methods of optimization, clustering and inverse problems ⋮ A review of power laws in real life phenomena ⋮ Critical transitions and early warning signals in repeated cooperation games ⋮ RECURRENCE PLOT AND RECURRENCE QUANTIFICATION ANALYSIS TECHNIQUES FOR DETECTING A CRITICAL REGIME. ⋮ Interacting Brownian motion with resetting ⋮ Financial market dynamics: superdiffusive or not? ⋮ Network of echoes ⋮ Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos ⋮ Statistical interpretation of the interplay between noise and chaos in the stochastic logistic map ⋮ EXTRAPOLATION OF POWER SERIES BY SELF-SIMILAR FACTOR AND ROOT APPROXIMANTS ⋮ Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013 ⋮ Following a trend with an exponential moving average: analytical results for a Gaussian model ⋮ Can log-periodic power law structures arise from random fluctuations? ⋮ Discrete scale-invariance in cross-correlations between time series ⋮ Abnormal statistical properties of stock indexes during a financial crash ⋮ An accelerated active-set algorithm for a quadratic semidefinite program with general constraints ⋮ Asset price bubbles in markets with transaction costs ⋮ INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS ⋮ Discrete space-time resetting model: application to first-passage and transmission statistics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bubbles and market crashes
• The 1996 Wald memorial lectures. Stochastic models of interacting systems
• Critical phenomena in natural sciences. Chaos, fractals, selforganization and disorder: concepts and tools
• Oscillatory finite-time singularities in finance, population and rupture
• Endogenous versus exogenous shocks in systems with memory
• Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
• Iterated conformal dynamics and Laplacian growth
• Particles and fields in fluid turbulence
• DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES
• A NONLINEAR SUPER-EXPONENTIAL RATIONAL MODEL OF SPECULATIVE FINANCIAL BUBBLES
• CRASHES AS CRITICAL POINTS
• BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• SEARCH FOR LOG-PERIODIC OSCILLATIONS IN STOCK MARKET SIMULATIONS
• PORTFOLIO THEORY FOR "FAT TAILS"
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• A statistical analysis of log-periodic precursors to financial crashes^*
• Significance of log-periodic precursors to financial crashes
• Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos
• The US 2000‐2002 market descent: How much longer and deeper?
• The evolution of emergent computation.
• NONPARAMETRIC ANALYSES OF LOG-PERIODIC PRECURSORS TO FINANCIAL CRASHES
• Crystal Statistics. I. A Two-Dimensional Model with an Order-Disorder Transition
• Finite-time singularity in the dynamics of the world population, economic and financial indices
• Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness

This page was built for publication: Critical market crashes