Stock market crashes, precursors and replicas

Didier Sornette, Anders Johansen and Jean-Philippe Bouchaud
Additional contact information
Didier Sornette: UCLA
Jean-Philippe Bouchaud: Science & Finance, Capital Fund Management

No 500018, Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management

Abstract: We present an analysis of the time behavior of the S&P 500 (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and characteristic oscillations of relaxation. Combined, they all suggest a picture of a kind of dynamical critical point, with characteristic log-periodic signatures, similar to what has been found recently for earthquakes. These observations are confirmed on other smaller crashes, and strengthen the view of the stockmarket as an example of a self-organizing cooperative system.

JEL-codes: G10 (search for similar items in EconPapers)
Date: 1995-10
New Economics Papers: this item is included in nep-fin and nep-fmk
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Journal de Physique 6, 167 (1996)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sfi:sfiwpa:500018

Access Statistics for this paper

More papers in Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management 6 boulevard Haussmann, 75009 Paris, FRANCE. Contact information at EDIRC.
Bibliographic data for series maintained by ().