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Stock market crashes, precursors and replicas

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  • Didier Sornette

    (UCLA
    Science & Finance, Capital Fund Management)

  • Anders Johansen
  • Jean-Philippe Bouchaud

    (Science & Finance, Capital Fund Management
    CEA Saclay;)

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    Abstract

    We present an analysis of the time behavior of the S&P 500 (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and characteristic oscillations of relaxation. Combined, they all suggest a picture of a kind of dynamical critical point, with characteristic log-periodic signatures, similar to what has been found recently for earthquakes. These observations are confirmed on other smaller crashes, and strengthen the view of the stockmarket as an example of a self-organizing cooperative system.

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    Bibliographic Info

    Paper provided by Science & Finance, Capital Fund Management in its series Science & Finance (CFM) working paper archive with number 500018.

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    Date of creation: Oct 1995
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    Publication status: Published in Journal de Physique 6, 167 (1996)
    Handle: RePEc:sfi:sfiwpa:500018

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