Abnormal statistical properties of stock indexes during a financial crash

DOI10.1016/J.PHYSA.2014.11.057MaRDI QIDQ1783348zbMATH OpenOpenAlexFDO

Authors Wei-Shen Li, Sy-Sang Liaw

Publication date 20 September 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2014.11.057

zbMATH Keywords

econophysicsstock marketcrashdual-fractalitylong-range persistencelong-tail distribution

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

Recommendations

• The seismography of crashes in financial markets
• Scaling behaviors in differently developed markets
• Stock market crashes and dynamics of aftershocks
• Multifractality in time series
• Discrete scale invariance in stock markets before crashes

Cites work

• Critical market crashes
• Cross-correlations between volume change and price change
• Magnitude and sign scaling in power-law correlated time series
• Time series properties of an artificial stock market

Cited in

(3)

• Level crossing analysis of the stock markets
• AN EMPIRICAL STUDY ON THE STATISTICAL PROPERTIES OF ROMANIAN EMERGING STOCK MARKET RASDAQ
• Statistical signatures in times of panic: markets as a self-organizing system

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