ar X iv : c on d - m at / 9 81 10 66 v 1 5 N ov 1 99 8 Modeling the Stock Market prior to large crashes
نویسنده
چکیده
We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, “bounded rationality” and a probabilistic description. We also compare extensively two previously proposed models of log-periodic behavior of the stock market index prior to a large crash. We find that the model which follows the above requirements outperforms the other with a high statistical significance. Pacs numbers: 01.75+m ; 02.50-r ; 89.90+n
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تاریخ انتشار 1999