Can a stochastic cusp catastrophe model explain stock market crashes?
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- Xu, Yan & Hu, Bin & Wu, Jiang & Zhang, Jianhua, 2014. "Nonlinear analysis of the cooperation of strategic alliances through stochastic catastrophe theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 100-108.
- Kukacka, Jiri & Barunik, Jozef, 2017.
"Estimation of financial agent-based models with simulated maximum likelihood,"
Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 21-45.
- Kukacka, Jiri & Barunik, Jozef, 2016. "Estimation of financial agent-based models with simulated maximum likelihood," FinMaP-Working Papers 63, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
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Keywords
Stochastic cusp catastrophe Bifurcations Singularity Nonlinear dynamics Stock market crash;Statistics
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