The DOI matches its Crossref record; 14 of the 14 references it cites were found in a registry or an index.
Predicting financial crashes using discrete scale invariance
Abstract
The authors present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets, including eight unrelated crashes from 1929 to 1998 on stock markets as diverse as the US, Hong Kong, and Russian markets, and on currencies. It is suggested that no major financial crash preceded by an extended bubble has occurred in the past two decades without exhibiting such log-periodic signatures.
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Cites
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Lectures on Phase Transitions and the Renormalization Group
Goldenfeld, N. (2018) · CRC Press eBooks · doi:10.1201/9780429493492 · Cited by 2,353
Problems in Physics with many Scales of Length
Wilson, K. G. (1979) · Scientific American · doi:10.1038/scientificamerican0879-158 · Cited by 564
Speculative bubbles, crashes and rational expectations
Blanchard, O. J. (1979) · Economics Letters · doi:10.1016/0165-1765(79)90017-x · Cited by 530
JOHANSEN, A., LEDOIT, O., & SORNETTE, D. (2000) · International Journal of Theoretical and Applied Finance · doi:10.1142/s0219024900000115 · Cited by 524
Self-citationExtreme Value Theory as a Risk Management Tool
Paul Embrechts, A., Resnick, S. I., & Samorodnitsky, G. P. (1999) · North American Actuarial Journal · doi:10.1080/10920277.1999.10595797 · Cited by 465
Discrete scale invariance and complex dimensionsPreprint
Sornette, D. (1998) · Cited by 446
Self-citationAnatomy of the trading process empirical evidence on the behavior of institutional traders
Keim, D. B., & Madhavan, A. (1995) · Journal of Financial Economics · doi:10.1016/0304-405x(94)00799-7 · Cited by 435
Sornette, D., & Johansen, A. (1997) · Physica A: Statistical Mechanics and its Applications · doi:10.1016/s0378-4371(97)00318-x · Cited by 276
Self-citationConversation, Information, and Herd BehaviorPreprint
Shiller, R. J. (1995) · RePEc: Research Papers in Economics · Cited by 268
Cited by
Discrete hierarchical organization of social group sizes
Zhou, W.-X., Sornette, D., Hill, R. A., & Dunbar, R. I. M. (2005) · Proceedings of the Royal Society B: Biological Sciences · doi:10.1098/rspb.2004.2970 · Cited by 574
Self-citationApproaching complexity by stochastic methods: From biological systems to turbulence
Friedrich, R., Peinke, J., Sahimi, M., & Reza Rahimi Tabar, M. (2011) · Physics Reports · doi:10.1016/j.physrep.2011.05.003 · Cited by 349
Metadata
- Authors
- Johansen, A., Sornette, D., & Ledoit, O.
- Venue
- The Journal of Risk
- Publisher
- Infopro Digital Services Limited
- Published
- 1999
- Volume
- 1
- Issue
- 4
- Pages
- 5-32
- ISSN
- 1465-1211 (ISSN-L)
- OpenAlex
- W3121612919
- Cited by
- 317
- References
- 14
- FWCI
- 30.51
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
