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Crashes : symptoms, diagnoses and remedies

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Author Info

  • M. Ausloos
  • K. Ivanova
  • N. Vandewalle

Abstract

A brief historical perspective is first given concerning financial crashes, - from the 17th till the 20th century. In modern times, it seems that log periodic oscillations are found before crashes in several financial indices. The same is found in sand pile avalanches on Sierpinski gaskets. A discussion pertains to the after shock period with illustrations from the DAX index. The factual financial observations and the laboratory ones allow us some conjecture on symptoms and remedies for discussing financial crashes along econophysics lines.

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File URL: http://arxiv.org/pdf/cond-mat/0104127
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Bibliographic Info

Paper provided by arXiv.org in its series Papers with number cond-mat/0104127.

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Date of creation: Apr 2001
Date of revision: Apr 2001
Handle: RePEc:arx:papers:cond-mat/0104127

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References

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  1. R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 11(1), pages 193-197, September.
  2. Laurent Laloux & Marc Potters & Rama Cont & Jean-Pierre Aguilar & Jean-Philippe Bouchaud, 1998. "Are Financial Crashes Predictable?," Papers cond-mat/9804111, arXiv.org.
  3. Kaizoji, Taisei, 2000. "Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 493-506.
  4. S. Gluzman & V. I. Yukalov, 1998. "Booms and Crashes in Self-Similar Markets," Papers cond-mat/9810092, arXiv.org.
  5. Anders Johansen & Didier Sornette, 2000. "The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash," Papers cond-mat/0004263, arXiv.org, revised May 2000.
  6. Lauterbach, Beni & Ben-Zion, Uri, 1993. " Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence," Journal of Finance, American Finance Association, vol. 48(5), pages 1909-25, December.
  7. Ross Macdonald, J. & Ausloos, M., 1997. "Analysis of TbZn resistivity temperature derivative above the Curie point using singular fitting equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 242(1), pages 150-160.
  8. Ausloos, M., 2000. "Statistical physics in foreign exchange currency and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(1), pages 48-65.
  9. Fabrizio Lillo & Rosario N. Mantegna, 2000. "Symmetry alteration of ensemble return distribution in crash and rally days of financial markets," Papers cond-mat/0002438, arXiv.org.
  10. Ausloos, Marcel & Vandewalle, N. & Ivanova, K., 2000. "Time is money," MPRA Paper 28703, University Library of Munich, Germany.
  11. Daerden, Frank & Vanderzande, Carlo, 1998. "Sandpiles on a Sierpinski gasket," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 256(3), pages 533-546.
  12. Zhi-Feng Huang, 2000. "Self-organized model for information spread in financial markets," Papers cond-mat/0004314, arXiv.org.
  13. Jean-Philippe Bouchaud & Rama Cont, 1998. "A Langevin approach to stock market fluctuations and crashes," Science & Finance (CFM) working paper archive 500027, Science & Finance, Capital Fund Management.
  14. D'Hulst, R. & Rodgers, G.J., 2000. "Democracy versus dictatorship in self-organized models of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 280(3), pages 554-565.
  15. Vandewalle, N. & Boveroux, Ph. & Minguet, A. & Ausloos, M., 1998. "The crash of October 1987 seen as a phase transition: amplitude and universality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 255(1), pages 201-210.
  16. A. Johansen & D. Sornette, 1999. "Financial ``Anti-Bubbles'': Log-Periodicity in Gold and Nikkei collapses," Papers cond-mat/9901268, arXiv.org.
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Citations

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Cited by:
  1. Marcel Ausloos, 2012. "Econophysics in Belgium. The first (?) 15 years," Papers 1212.1946, arXiv.org.
  2. Cajueiro, Daniel O. & Tabak, Benjamin M. & Werneck, Filipe K., 2009. "Can we predict crashes? The case of the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1603-1609.

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