IDEAS home Printed from https://ideas.repec.org/p/arx/papers/cond-mat-9901035.html
   My bibliography  Save this paper

Critical Crashes

Author

Listed:
  • Anders Johansen

    (IGPP, UCLA)

  • Didier Sornette

    (CNRS-University of Nice and UCLA)

Abstract

We argue that the word ``critical'' in the title is not purely literary. Based on our and other previous work on nonlinear complex dynamical systems, we summarize present evidence, on the Oct. 1929, Oct. 1987, Oct. 1987 Hong-Kong, Aug. 1998 global market events and on the 1985 Forex event, for the hypothesis advanced four years ago that stock market crashes are caused by the slow buildup of long-range correlations between traders leading to a collapse of the stock market in one critical instant. We qualify the log-periodic oscillations using a novel non-parametric method that does not rely on any fit: the corresponding log-periodogram exhibits a strong statistically significant peak for all six crashes examined, pointing at approximately the same prefered scaling ratio around 2.

Suggested Citation

  • Anders Johansen & Didier Sornette, 1999. "Critical Crashes," Papers cond-mat/9901035, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/9901035
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/cond-mat/9901035
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:cond-mat/9901035. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.