Large financial crashes
نویسندگان
چکیده
منابع مشابه
Large financial crashes
We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We extend our previous renormalization group model of stock market prices prior to and after crashes [D. Sornette et al., J.Phys.I France 6, 167, 1996] by including the first non-linear correction. This predicts the existence of a log-frequency shif...
متن کاملAre financial crashes predictable?
– We critically review recent claims that financial crashes can be predicted using the idea of log-periodic oscillations or by other methods inspired by the physics of critical phenomena. In particular, the October 1997 “correction” does not appear to be the accumulation point of a geometric series of local minima. It is rather tempting to see financial crashes as the analogue of critical point...
متن کاملPredicting Financial Crashes Using Discrete Scale Invariance
We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated crashes from 1929 to 1998 on stock markets as diverse as the US, Hong-Kong or the Russian market and on currencies. To our knowledge, no major financial crash pr...
متن کاملComment on " Are Financial Crashes Predictable? "
In a recent paper published in this journal, Laloux et al. [1] criticized the use of eq. p (t) = A + B (t c − t) β + C (t c − t) β cos (ω ln (t c − t) − φ) (1) as a predictive tool for the detection of periods of large declines in the financial markets as first suggested in [2]. The criticism was based on a rather primitive " eye-balling analysis " lacking the consistent methodology used in the...
متن کاملEndogenous versus Exogenous Crashes in Financial Markets
In a series of papers based on analogies with statistical physics models, we have proposed that most financial crashes are the climax of so-called log-periodic power law signatures (LPPS) associated with speculative bubbles [Sornette and Johansen, 1998, Johansen and Sornette, 1999, Johansen et al., 1999, Johansen et al., 1999, Sornette and Johansen, 2001]. In addition, a large body of empirical...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 1997
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(97)00318-x