Stock market crashes as social phase transitions

DOI10.1016/J.JEDC.2007.01.023zbMATH Open1181.91265OpenAlexW1999153324MaRDI QIDQ844572FDOQ844572

Moshe Levy

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2007.01.023

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zbMATH Keywords

phase transitionsconformity effectsmarket crashes

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Dynamic and nonequilibrium phase transitions (general) in statistical mechanics (82C26) Actuarial science and mathematical finance (91G99)

Cites Work

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• Prospect Theory: An Analysis of Decision under Risk
• Beitrag zur Theorie des Ferromagnetismus
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• How can statistical mechanics contribute to social science?
• Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
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• A microscopic model of the stock market: cycles, booms, and crashes
• Time variation of second moments from a noise trader/infection model
• On the origin of power-law tails in price fluctuations
• Random economies with many interacting agents
• Physics and social science -- the approach of synergetics

Cited In (7)

• Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
• The exact solution of spatial logit response games
• Econonatology: the physics of the economy in labour
• An investigation of crash avoidance in a complex system
• Rational panics and stock market crashes.
• A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
• Financial crises and interacting heterogeneous agents

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