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Financial bubbles analysis with a cross-sectional estimator

Author

Listed:
  • Frederic Abergel
  • Nicolas Huth
  • Ioane Muni Toke

Abstract

We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical tool and investigate analytically its link with stocks correlation structure.

Suggested Citation

  • Frederic Abergel & Nicolas Huth & Ioane Muni Toke, 2009. "Financial bubbles analysis with a cross-sectional estimator," Papers 0909.2885, arXiv.org.
  • Handle: RePEc:arx:papers:0909.2885
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    File URL: http://arxiv.org/pdf/0909.2885
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    References listed on IDEAS

    as
    1. Kaizoji, Taisei & Kaizoji, Michiyo, 2004. "Power law for ensembles of stock prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 240-243.
    2. Lisa Borland, 2009. "Statistical Signatures in Times of Panic: Markets as a Self-Organizing System," Papers 0908.0111, arXiv.org, revised Aug 2009.
    3. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
    4. Fabrizio Lillo & Rosario N. Mantegna, 2000. "Variety and Volatility in Financial Markets," Papers cond-mat/0006065, arXiv.org.
    5. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 452-471.
    6. Taisei Kaizoji, 2005. "A Precursor of Market Crashes," Papers physics/0510055, arXiv.org, revised Mar 2006.
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    Cited by:

    1. Esteban Guevara Hidalgo, 2015. "Bin Size Independence in Intra-day Seasonalities for Relative Prices," Papers 1501.05176, arXiv.org, revised Dec 2016.

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