Stock market crashes and dynamics of aftershocks

DOI10.1016/J.ECONLET.2005.05.032MaRDI QIDQ1928656zbMATH OpenOpenAlexFDO

Authors Panayotis Kapopoulos, Fotios Siokis

Publication date 3 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2005.05.032

zbMATH Keywords

accelerationaftershocksenergyfinancial crashes

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Economic time series analysis (91B84) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• A microscopic model of the stock market: cycles, booms, and crashes
• CRASHES AS CRITICAL POINTS
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• Market Crashes and Informational Avalanches
• Price crashes, information aggregation, and market-making
• Rational panics and stock market crashes.

Cited in

(7)

• Abnormal statistical properties of stock indexes during a financial crash
• Endogenous versus exogenous shocks in systems with memory
• The geometry of crashes. A measure of the dynamics of stock market crises
• scientific article; zbMATH DE number 1987559 (Why is no real title available?)
• MEASURING SHOCK IN FINANCIAL MARKETS
• An index of market shocks based on multiscale analysis
• The seismography of crashes in financial markets

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