Self-organization and market crashes
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- V. Plerou & P. Gopikrishnan & L. A. N. Amaral & M. Meyer & H. E. Stanley, 1999. "Scaling of the distribution of price fluctuations of individual companies," Papers cond-mat/9907161, arXiv.org.
- Sornette, Didier & Johansen, Anders, 1997. "Large financial crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 411-422.
- Stauffer, Dietrich & Sornette, Didier, 1999. "Self-organized percolation model for stock market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 271(3), pages 496-506.
- Laurent Laloux & Marc Potters & Rama Cont & Jean-Pierre Aguilar & Jean-Philippe Bouchaud, 1998. "Are financial crashes predictable?," Science & Finance (CFM) working paper archive 9804111, Science & Finance, Capital Fund Management.
- Cont, Rama & Bouchaud, Jean-Philipe, 2000. "Herd Behavior And Aggregate Fluctuations In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 4(02), pages 170-196, June.
- A. Johansen & D. Sornette, 1998. "Stock market crashes are outliers," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 1(2), pages 141-143, January.
- Gerard Weisbuch & Alan Kirman & Dorothea Herreiner, 1995. "Market Organization," Working Papers 95-11-102, Santa Fe Institute.
- B. M. Roehner & D. Sornette, 1998. "The sharp peak-flat trough pattern and critical speculation," Papers cond-mat/9802234, arXiv.org.
- A. Johansen & D. Sornette, 1999. "Financial ``Anti-Bubbles'': Log-Periodicity in Gold and Nikkei collapses," Papers cond-mat/9901268, arXiv.org.
- Mantegna, Rosario N. & Stanley, H.Eugene, 1998.
"Modeling of financial data: Comparison of the truncated Lévy flight and the ARCH(1) and GARCH(1,1) processes,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 254(1), pages 77-84.
- Rosario N. Mantegna & H. Eugene Stanley, 1998. "Modeling of Financial Data: Comparison of the Truncated L\'evy Flight and the ARCH(1) and GARCH(1,1) processes," Papers cond-mat/9804126, arXiv.org.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
- Thomas Lux, 2009. "Applications of Statistical Physics in Finance and Economics," Chapters,in: Handbook of Research on Complexity, chapter 9 Edward Elgar Publishing.
- Lux, Thomas, 2008. "Applications of statistical physics in finance and economics," Kiel Working Papers 1425, Kiel Institute for the World Economy (IfW).
- Siokis, Fotios M., 2012. "Stock market dynamics: Before and after stock market crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1315-1322.
- Thomas Lux, 2006. "Financial Power Laws: Empirical Evidence, Models, and Mechanism," Working Papers wpn06-08, Warwick Business School, Finance Group.
- Gavriilidis, Konstantinos & Kallinterakis, Vasileios & Tsalavoutas, Ioannis, 2016. "Investor mood, herding and the Ramadan effect," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 23-38.
- Javier Morales & V'ictor Tercero & Fernando Camacho & Eduardo Cordero & Luis L'opez & F-Javier Almaguer, 2014. "Trend and Fractality Assessment of Mexico's Stock Exchange," Papers 1411.3399, arXiv.org.
- repec:spr:comaot:v:23:y:2017:i:2:d:10.1007_s10588-016-9224-2 is not listed on IDEAS
- David Anzola & Peter Barbrook-Johnson & Juan I. Cano, 0. "Self-organization and social science," Computational and Mathematical Organization Theory, Springer, vol. 0, pages 1-37.
- Thomas Lux, 2006. "Applications of Statistical Physics in Finance and Economics," Working Papers wpn06-07, Warwick Business School, Finance Group.
- Lux, Thomas, 2006. "Financial power laws: Empirical evidence, models, and mechanism," Economics Working Papers 2006-12, Christian-Albrechts-University of Kiel, Department of Economics.
- Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
- Siokis, Fotios M., 2012. "The dynamics of a complex system: The exchange rate crisis in Southeast Asia," Economics Letters, Elsevier, vol. 114(1), pages 98-101.
- Marco Airoldi & Vito Antonelli & Bruno Bassetti & Andrea Martinelli & Marco Picariello, 2004. "Long Range Interaction Generating Fat-Tails in Finance," GE, Growth, Math methods 0404006, EconWPA, revised 27 Apr 2004.
- Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
- repec:eee:apmaco:v:285:y:2016:i:c:p:103-113 is not listed on IDEAS
- Derveeuw, Julien, 2005. "Market dynamics and agents behaviors: a computational approach," MPRA Paper 4916, University Library of Munich, Germany.
- Guney, Yilmaz & Kallinterakis, Vasileios & Komba, Gabriel, 2017. "Herding in frontier markets: Evidence from African stock exchanges," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 152-175.
More about this item
StatisticsAccess and download statistics
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:eee:jeborg:v:49:y:2002:i:2:p:241-267. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jebo .
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.
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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.