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Stock market crashes as social phase transitions

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  • Levy, Moshe

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  • Levy, Moshe, 2008. "Stock market crashes as social phase transitions," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 137-155, January.
    • Handle: RePEc:eee:dyncon:v:32:y:2008:i:1:p:137-155
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    Cited by:

    1. Jianbo Gao & Jing Hu & Xiang Mao & Mi Zhou & Brian Gurbaxani & Johnny Lin, 2011. "Entropies of Negative Incomes, Pareto-Distributed Loss, and Financial Crises," PLOS ONE, Public Library of Science, vol. 6(10), pages 1-6, October.
    2. Huang, Weihong & Zheng, Huanhuan & Chia, Wai-Mun, 2010. "Financial crises and interacting heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1105-1122, June.
    3. Jozef Barunik & Jiri Kukacka, 2015. "Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 959-973, June.
    4. Karlis, Alexandros & Galanis, Giorgos & Terovitis, Spyridon & Turner, Matthew, 2015. "Hedging against Risk in a Heterogeneous Leveraged Market," The Warwick Economics Research Paper Series (TWERPS) 1084, University of Warwick, Department of Economics.
    5. Jan Jurczyk & Alexander Eckrot & Ingo Morgenstern, 2016. "Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model," PLOS ONE, Public Library of Science, vol. 11(6), pages 1-12, June.
    6. A. K. Karlis & G. Galanis & S. Terovitis & M. S. Turner, 2021. "Heterogeneity and clustering of defaults," Quantitative Finance, Taylor & Francis Journals, vol. 21(9), pages 1533-1549, September.
    7. Konno, Tomohiko & Ioannides, Yannis M., 2019. "The exact solution of spatial logit response games," Mathematical Social Sciences, Elsevier, vol. 97(C), pages 1-10.
    8. Brée, David S. & Joseph, Nathan Lael, 2013. "Testing for financial crashes using the Log Periodic Power Law model," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 287-297.
    9. Laib, Fodil & Radjef, MS, 2010. "Automatizing Price Negotiation in Commodities Markets," MPRA Paper 28277, University Library of Munich, Germany.
    10. Karlis, Alexandros & Galanis, Girogos & Terovitis, Spyridon & Turner, Matthew, 2017. "Heterogeneity and Clustering of Defaults," Economic Research Papers 270011, University of Warwick - Department of Economics.
    11. Li, Minqiang, 2010. "A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 132-157, February.
    12. Kang, Bo Soo & Park, Chanhi & Ryu, Doojin & Song, Wonho, 2015. "Phase transition phenomenon: A compound measure analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 383-395.
    13. Ditian Zhang & Yangyang Zhuang & Pan Tang & Hongjuan Peng & Qingying Han, 2023. "Financial price dynamics and phase transitions in the stock markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 96(3), pages 1-21, March.
    14. Christopher M Wray & Steven R Bishop, 2016. "A Financial Market Model Incorporating Herd Behaviour," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-28, March.
    15. Kang, Bo Soo & Ryu, Doojin & Ryu, Doowon, 2014. "Phase-shifting behaviour revisited: An alternative measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 167-173.
    16. Qing Xu & Xiao-Ming Li, 2009. "Estimation of dynamic asymmetric tail dependences: an empirical study on Asian developed futures markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(4), pages 273-290.
    17. Yi-Jang Yu, 2015. "Short-term Technical Predictive Ability in the Taipei Stock Market," Research in World Economy, Research in World Economy, Sciedu Press, vol. 6(2), pages 50-61, June.

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