Financial bubbles analysis with a cross-sectional estimator
AbstractWe highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in . We provide extensive empirical tests of this statistical tool and investigate analytically its link with stocks correlation structure.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0909.2885.
Date of creation: Sep 2009
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 452-471.
- Fabrizio Lillo & Rosario N. Mantegna, 2000. "Variety and Volatility in Financial Markets," Papers cond-mat/0006065, arXiv.org.
- Lisa Borland, 2009. "Statistical Signatures in Times of Panic: Markets as a Self-Organizing System," Papers 0908.0111, arXiv.org, revised Aug 2009.
- D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
- Taisei Kaizoji & Michiyo Kaizoji, 2003.
"Power law for ensembles of stock prices,"
cond-mat/0312406, arXiv.org, revised Mar 2006.
- Kaizoji, Taisei & Kaizoji, Michiyo, 2004. "Power law for ensembles of stock prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 240-243.
- Taisei Kaizoji, 2005. "A Precursor of Market Crashes," Papers physics/0510055, arXiv.org, revised Mar 2006.
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