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Are Financial Crashes Predictable?

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  • Laurent Laloux

    (Science & Finance)

  • Marc Potters

    (Science & Finance)

  • Rama Cont

    (Science & Finance
    Polytechnique Lausanne)

  • Jean-Pierre Aguilar

    (Science & Finance
    Capital Futures Management)

  • Jean-Philippe Bouchaud

    (Science & Finance
    CEA Saclay)

Abstract

We critically review recent claims that financial crashes can be predicted using the idea of log-periodic oscillations or by other methods inspired by the physics of critical phenomena. In particular, the October 1997 `correction' does not appear to be the accumulation point of a geometric series of local minima.

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Paper provided by arXiv.org in its series Papers with number cond-mat/9804111.

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Date of creation: Apr 1998
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Handle: RePEc:arx:papers:cond-mat/9804111

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Web page: http://arxiv.org/

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Cited by:
  1. Fry, J. M., 2010. "Gaussian and non-Gaussian models for financial bubbles via econophysics," MPRA Paper 27307, University Library of Munich, Germany.
  2. Fry, J. M., 2010. "Bubbles and crashes in finance: A phase transition from random to deterministic behaviour in prices," MPRA Paper 24778, University Library of Munich, Germany.
  3. Focardi, Sergio & Cincotti, Silvano & Marchesi, Michele, 2002. "Self-organization and market crashes," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 49(2), pages 241-267, October.
  4. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
  5. Fry, J. M., 2009. "Statistical modelling of financial crashes: Rapid growth, illusion of certainty and contagion," MPRA Paper 16027, University Library of Munich, Germany.
  6. Anders Johansen & Didier Sornette & Olivier Ledoit, 1999. "Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes," Finance, EconWPA 9903006, EconWPA.
  7. Hendrik J. Blok, 2000. "On the nature of the stock market: Simulations and experiments," Papers cond-mat/0010211, arXiv.org.
  8. M. Ausloos & K. Ivanova & N. Vandewalle, 2001. "Crashes : symptoms, diagnoses and remedies," Papers cond-mat/0104127, arXiv.org, revised Apr 2001.

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