Financial bubbles analysis with a cross-sectional estimator
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in . We provide extensive empirical tests of this statistical tool and investigate analytically its link with stocks correlation structure.
References listed on IDEAS
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- D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
- Kaizoji, Taisei & Kaizoji, Michiyo, 2004.
"Power law for ensembles of stock prices,"
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- Taisei Kaizoji, 2005. "A Precursor of Market Crashes," Papers physics/0510055, arXiv.org, revised Mar 2006.
- Fabrizio Lillo & Rosario N. Mantegna, 2000. "Variety and Volatility in Financial Markets," Papers cond-mat/0006065, arXiv.org.
- D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 452-471.
- Lisa Borland, 2009. "Statistical Signatures in Times of Panic: Markets as a Self-Organizing System," Papers 0908.0111, arXiv.org, revised Aug 2009.
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