CRASHES AS CRITICAL POINTS

DOI10.1142/S0219024900000115zbMath1153.91790arXivcond-mat/9810071MaRDI QIDQ3523555

Didier Sornette, Olivier Ledoit, Anders Johansen

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/9810071

Mathematics Subject Classification ID

91B84: Economic time series analysis

Related Items

Finite-time singularity in the dynamics of the world population, economic and financial indices, From rational bubbles to crashes, 2000-2003 real estate bubble in the UK but not in the USA, Evidence of a worldwide stock market log-periodic anti-bubble since mid-2000, Renormalization group analysis of the 2000-2002 anti-bubble in the US S\& P500 index: explanation of the hierarchy of five crashes and prediction, Effect of trading momentum and price resistance on stock market dynamics: a Glauber Monte Carlo simulation, Oscillatory finite-time singularities in finance, population and rupture, ``Slimming of power-law tails by increasing market returns, Predicting critical crashes? A new restriction for the free variables, Critical market crashes, Characterization of large price variations in financial markets, Stock market crashes and dynamics of aftershocks, A NONLINEAR SUPER-EXPONENTIAL RATIONAL MODEL OF SPECULATIVE FINANCIAL BUBBLES, BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• The 1996 Wald memorial lectures. Stochastic models of interacting systems
• DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES
• Crystal Statistics. I. A Two-Dimensional Model with an Order-Disorder Transition