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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0909.2885.
Date of creation: Sep 2009
Date of revision:
Contact details of provider:
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," Papers cond-mat/0106520, arXiv.org.
- Taisei Kaizoji, 2005. "A Precursor of Market Crashes," Papers physics/0510055, arXiv.org, revised Mar 2006.
- Lisa Borland, 2009. "Statistical Signatures in Times of Panic: Markets as a Self-Organizing System," Papers 0908.0111, arXiv.org, revised Aug 2009.
- Fabrizio Lillo & Rosario N. Mantegna, 2000. "Variety and Volatility in Financial Markets," Papers cond-mat/0006065, arXiv.org.
- 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.
- D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 452-471.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.