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Predictability of large future changes in major financial indices

  • Sornette, Didier
  • Zhou, Wei-Xing
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    File URL: http://www.sciencedirect.com/science/article/B6V92-4HM7RRG-1/2/b4c6dd87c9cd45ac8699f4638cb859f6
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    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 22 (2006)
    Issue (Month): 1 ()
    Pages: 153-168

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    Handle: RePEc:eee:intfor:v:22:y:2006:i:1:p:153-168
    Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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    1. Mansilla, R., 2001. "Algorithmic complexity of real financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 301(1), pages 483-492.
    2. D. Sornette & H. Takayasu & W. -X. Zhou, 2003. "Finite-Time Singularity Signature of Hyperinflation," Papers physics/0301007, arXiv.org.
    3. W. A. Brock, 1993. "Pathways to Randomness in the Economy: Emergent Nonlinearity and Chaos in Economics and Finance," Working Papers 93-02-006, Santa Fe Institute.
    4. Johansen, Anders, 2003. "Characterization of large price variations in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 157-166.
    5. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    6. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
    7. repec:att:wimass:9530 is not listed on IDEAS
    8. Orlean, Andre, 1995. "Bayesian interactions and collective dynamics of opinion: Herd behavior and mimetic contagion," Journal of Economic Behavior & Organization, Elsevier, vol. 28(2), pages 257-274, October.
    9. William A. Brock & Cars H. Hommes, 1997. "A Rational Route to Randomness," Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
    10. Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
    11. John R. Graham, 1999. "Herding among Investment Newsletters: Theory and Evidence," Journal of Finance, American Finance Association, vol. 54(1), pages 237-268, 02.
    12. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-68, July.
    13. Graf v. Bothmer, Hans-Christian & Meister, Christian, 2003. "Predicting critical crashes? A new restriction for the free variables," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 320(C), pages 539-547.
    14. Scharfstein, David. & Stein, Jeremy C., 1988. "Herd behavior and investment," Working papers WP 2062-88., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    15. Ide, Kayo & Sornette, Didier, 2002. "Oscillatory finite-time singularities in finance, population and rupture," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 307(1), pages 63-106.
    16. D. Sornette, 2003. "Critical Market Crashes," Papers cond-mat/0301543, arXiv.org.
    17. Sornette, D & Takayasu, H & Zhou, W.-X, 2003. "Finite-time singularity signature of hyperinflation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 325(3), pages 492-506.
    18. Yael Alon- Brimer & Armin Shmilovici & Shmuel Hauser, 2002. "Using a Stochastic Complexity Measure to Check the Efficient Market Hypothesis," Computing in Economics and Finance 2002 272, Society for Computational Economics.
    19. Frederic S. Mishkin & Eugene N. White, 2002. "U.S. Stock Market Crashes and Their Aftermath: Implications for Monetary Policy," NBER Working Papers 8992, National Bureau of Economic Research, Inc.
    20. Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-96, July.
    21. Brock, William A., 2000. "Whither nonlinear?," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 663-678, June.
    22. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 452-471.
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