Abnormal statistical properties of stock indexes during a financial crash

DOI10.1016/J.PHYSA.2014.11.057zbMATH Open1402.91917OpenAlexW2076543587MaRDI QIDQ1783348FDOQ1783348

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

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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)

Cites Work

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

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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