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Predictability of large future changes in major financial indices

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  • Sornette, Didier
  • Zhou, Wei-Xing
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    Bibliographic Info

    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 22 (2006)
    Issue (Month): 1 ()
    Pages: 153-168

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    Handle: RePEc:eee:intfor:v:22:y:2006:i:1:p:153-168

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    1. William A. Brock & Cars H. Hommes, 1997. "A Rational Route to Randomness," Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
    2. Yael Alon- Brimer & Armin Shmilovici & Shmuel Hauser, 2002. "Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis," Computing in Economics and Finance 2002 272, Society for Computational Economics.
    3. Scharfstein, David. & Stein, Jeremy C., 1988. "Herd behavior and investment," Working papers WP 2062-88., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    4. D. Sornette & H. Takayasu & W. -X. Zhou, 2003. "Finite-Time Singularity Signature of Hyperinflation," Papers physics/0301007, arXiv.org.
    5. Frederic S. Mishkin & Eugene N. White, 2002. "U.S. Stock Market Crashes and Their Aftermath: Implications for Monetary Policy," NBER Working Papers 8992, National Bureau of Economic Research, Inc.
    6. John R. Graham, 1999. "Herding among Investment Newsletters: Theory and Evidence," Journal of Finance, American Finance Association, vol. 54(1), pages 237-268, 02.
    7. Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-96, July.
    8. Brock, William A., 2000. "Whither nonlinear?," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 663-678, June.
    9. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 452-471.
    10. Orlean, Andre, 1995. "Bayesian interactions and collective dynamics of opinion: Herd behavior and mimetic contagion," Journal of Economic Behavior & Organization, Elsevier, vol. 28(2), pages 257-274, October.
    11. Mansilla, R., 2001. "Algorithmic complexity of real financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 301(1), pages 483-492.
    12. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-68, July.
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    14. William A. Brock, 1993. "Pathways to randomness in the economy: Emergent nonlinearity and chaos in economics and finance," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 8(1), pages 3-55.
    15. Eugene F. Fama, . "Market Efficiency, Long-term Returns, and Behavioral Finance," CRSP working papers 340, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    16. Sornette, D & Takayasu, H & Zhou, W.-X, 2003. "Finite-time singularity signature of hyperinflation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 325(3), pages 492-506.
    17. Ide, Kayo & Sornette, Didier, 2002. "Oscillatory finite-time singularities in finance, population and rupture," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 307(1), pages 63-106.
    18. Graf v. Bothmer, Hans-Christian & Meister, Christian, 2003. "Predicting critical crashes? A new restriction for the free variables," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 320(C), pages 539-547.
    19. Johansen, Anders, 2003. "Characterization of large price variations in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 157-166.
    20. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    21. D. Sornette, 2003. "Critical Market Crashes," Papers cond-mat/0301543, arXiv.org.
    22. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
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    Cited by:
    1. Sornette, Didier & Woodard, Ryan & Yan, Wanfeng & Zhou, Wei-Xing, 2013. "Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4417-4428.
    2. Fantazzini, Dean & Geraskin, Petr, 2011. "Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask," MPRA Paper 47869, University Library of Munich, Germany.
    3. Shapoval, A., 2010. "Prediction problem for target events based on the inter-event waiting time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(22), pages 5145-5154.
    4. Wu, Yajing & Guo, Jinzhong & Chen, Qinghua & Wang, Yougui, 2011. "Socioeconomic implications of donation distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4325-4331.
    5. Gisler, Monika & Sornette, Didier & Woodard, Ryan, 2011. "Innovation as a social bubble: The example of the Human Genome Project," Research Policy, Elsevier, vol. 40(10), pages 1412-1425.
    6. Brée, David S. & Joseph, Nathan Lael, 2013. "Testing for financial crashes using the Log Periodic Power Law model," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 287-297.
    7. Vladimir Filimonov & Didier Sornette, . "A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model," Working Papers ETH-RC-11-002, ETH Zurich, Chair of Systems Design.
    8. Qian, Xi-Yuan & Song, Fu-Tie & Zhou, Wei-Xing, 2008. "Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 503-510.
    9. da Fonseca, Eder Lucio & Ferreira, Fernando F. & Muruganandam, Paulsamy & Cerdeira, Hilda A., 2013. "Identifying financial crises in real time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1386-1392.
    10. Wosnitza, Jan Henrik & Leker, Jens, 2014. "Can log-periodic power law structures arise from random fluctuations?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 228-250.
    11. Didier Sornette & Ryan Woodard & Maxim Fedorovsky & Stefan Reimann & Hilary Woodard & Wei-Xing Zhou, 2009. "The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations," Papers 0911.0454, arXiv.org, revised May 2010.
    12. Sanjay Rajagopal & Patrick Hays, 2012. "Return Persistence in the Indian Real Estate Market," International Real Estate Review, Asian Real Estate Society, vol. 15(3), pages 283-305.
    13. Wosnitza, Jan Henrik & Denz, Cornelia, 2013. "Liquidity crisis detection: An application of log-periodic power law structures to default prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3666-3681.
    14. Vladimir Filimonov & Didier Sornette, 2011. "A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model," Papers 1108.0099, arXiv.org, revised Jun 2013.
    15. Yan, Wanfeng & Woodard, Ryan & Sornette, Didier, 2012. "Diagnosis and prediction of rebounds in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1361-1380.
    16. Sornette, Didier & Woodard, Ryan & Zhou, Wei-Xing, 2009. "The 2006–2008 oil bubble: Evidence of speculation, and prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1571-1576.
    17. Dean Fantazzini, 2011. "Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis," Economics Bulletin, AccessEcon, vol. 31(4), pages 3259-3267.
    18. Fry, John, 2013. "Bubbles, shocks and elementary technical trading strategies," MPRA Paper 47052, University Library of Munich, Germany.
    19. Filimonov, V. & Sornette, D., 2013. "A stable and robust calibration scheme of the log-periodic power law model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3698-3707.

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