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Financial bubbles analysis with a cross-sectional estimator

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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

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    1. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 452-471.
    2. 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.
    3. Jean-Philippe Bouchaud & Marc Mezard, 2000. "Wealth condensation in a simple model of economy," Science & Finance (CFM) working paper archive 500026, Science & Finance, Capital Fund Management.
    4. Fabrizio Lillo & Rosario N. Mantegna, 2000. "Variety and Volatility in Financial Markets," Papers cond-mat/0006065, arXiv.org.
    5. Taisei Kaizoji, 2005. "A Precursor of Market Crashes," Papers physics/0510055, arXiv.org, revised Mar 2006.
    6. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
    7. Lisa Borland, 2009. "Statistical Signatures in Times of Panic: Markets as a Self-Organizing System," Papers 0908.0111, arXiv.org, revised Aug 2009.
    8. Bouchaud, Jean-Philippe & Mézard, Marc, 2000. "Wealth condensation in a simple model of economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 282(3), pages 536-545.
    9. T. Kaizoji, 2006. "A precursor of market crashes: Empirical laws of Japan's internet bubble," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 50(1), pages 123-127, March.
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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.
    2. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Correlation of financial markets in times of crisis," Papers 1102.1339, arXiv.org, revised Mar 2011.

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