Critical Crashes

Anders Johansen and Didier Sornette
Additional contact information
Anders Johansen: IGPP, UCLA
Didier Sornette: CNRS-University of Nice and UCLA

Papers from arXiv.org

Abstract: We argue that the word ``critical'' in the title is not purely literary. Based on our and other previous work on nonlinear complex dynamical systems, we summarize present evidence, on the Oct. 1929, Oct. 1987, Oct. 1987 Hong-Kong, Aug. 1998 global market events and on the 1985 Forex event, for the hypothesis advanced four years ago that stock market crashes are caused by the slow buildup of long-range correlations between traders leading to a collapse of the stock market in one critical instant. We qualify the log-periodic oscillations using a novel non-parametric method that does not rely on any fit: the corresponding log-periodogram exhibits a strong statistically significant peak for all six crashes examined, pointing at approximately the same prefered scaling ratio around 2.

Date: 1999-01
References: Add references at CitEc
Citations: View citations in EconPapers (36)

Published in Risk, Vol 12, No. 1, p.91-94 (1999)

Downloads: (external link)
http://arxiv.org/pdf/cond-mat/9901035 Latest version (application/pdf)

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:arx:papers:cond-mat/9901035

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().