CRASHES AS CRITICAL POINTS

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

Olivier Ledoit, Didier Sornette, 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

Economic time series analysis (91B84)

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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

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