Stock market crashes, precursors and replicas

Didier Sornette, Anders Johansen and Jean-Philippe Bouchaud
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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)
New Economics Papers: this item is included in nep-fin and nep-fmk
Date: 1995-10
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Published in Journal de Physique 6, 167 (1996)

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

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