The DOI matches its Crossref record; 18 of the 18 references it cites were found in a registry or an index.
Large financial crashes
Open accessAbstract
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, A. Johansen, J.P. Bouchaud, J. Phys. I France 6 (1996) 167) by including the first non-linear correction. This predicts the existence of a log-frequency shift over time in the log-periodic oscillations prior to a crash. This is tested on the two largest historical crashes of the century, the October 1929 and October 1987 crashes, by fitting the stock market index over an interval of 8 yr prior to the crashes. The good quality of the fits, as well as the consistency of the parameter values obtained from the two crashes, promote the theory that crashes have their origin in the collective “crowd” behavior of many interacting agents.
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Cites
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Scaling behaviour in the dynamics of an economic index
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The economy as an evolving complex system
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Turbulent cascades in foreign exchange markets
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Artificial economic life: a simple model of a stockmarket
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Order within chaos : towards a deterministic approach to turbulence
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Cited by
Multifractal analysis of financial markets: a review
Jiang, Z.-Q., Xie, W.-J., Zhou, W.-X., & Sornette, D. (2019) · Reports on Progress in Physics · doi:10.1088/1361-6633/ab42fb · Cited by 423
Self-citationPredicting financial crashes using discrete scale invariance
Johansen, A., Sornette, D., & Ledoit, O. (1999) · The Journal of Risk · doi:10.21314/jor.1999.014 · Cited by 317
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Metadata
- Authors
- Sornette, D., & Johansen, A.
- Venue
- Physica A: Statistical Mechanics and its Applications
- Publisher
- Elsevier BV
- Published
- 1997-11
- Volume
- 245
- Issue
- 3-4
- Pages
- 411-422
- ISSN
- 0378-4371 (ISSN-L)
- OpenAlex
- W2071481304
- Cited by
- 276
- References
- 18
- FWCI
- 36.61
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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