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Financial bubbles analysis with a cross-sectional estimator

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  • Frederic Abergel
  • Nicolas Huth
  • Ioane Muni Toke
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    Abstract

    We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical tool and investigate analytically its link with stocks correlation structure.

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    File URL: http://arxiv.org/pdf/0909.2885
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 0909.2885.

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    Date of creation: Sep 2009
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    Handle: RePEc:arx:papers:0909.2885

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    Web page: http://arxiv.org/

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    1. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
    2. Taisei Kaizoji, 2005. "A Precursor of Market Crashes," Papers physics/0510055, arXiv.org, revised Mar 2006.
    3. Taisei Kaizoji & Michiyo Kaizoji, 2003. "Power law for ensembles of stock prices," Papers cond-mat/0312406, arXiv.org, revised Mar 2006.
    4. Lisa Borland, 2009. "Statistical Signatures in Times of Panic: Markets as a Self-Organizing System," Papers 0908.0111, arXiv.org, revised Aug 2009.
    5. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 452-471.
    6. Fabrizio Lillo & Rosario N. Mantegna, 2000. "Variety and Volatility in Financial Markets," Papers cond-mat/0006065, arXiv.org.
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