Exogenous and endogenous crashes as phase transitions in complex financial systems
In this paper we provide a unifying framework for a set of seemingly disparate models for exogenous and endogenous shocks in complex financial systems. Markets operate by balancing intrinsic levels of risk and return. This remains true even in the midst of transitory external shocks. Changes in market regime (bearish to bullish and bullish to bearish) can be explicitly shown to represent a phase transition from random to deterministic behaviour in prices. The resulting models refine the empirical analysis in a number of previous papers.
|Date of creation:||26 Jan 2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fantazzini, Dean & Geraskin, Petr, 2011.
"Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask,"
47869, University Library of Munich, Germany.
- Petr Geraskin & Dean Fantazzini, 2013. "Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 366-391, May.
- Jiang, Zhi-Qiang & Zhou, Wei-Xing & Sornette, Didier & Woodard, Ryan & Bastiaensen, Ken & Cauwels, Peter, 2010. "Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Journal of Economic Behavior & Organization, Elsevier, vol. 74(3), pages 149-162, June.
- Zeira, Joseph, 1999.
"Informational overshooting, booms, and crashes,"
Journal of Monetary Economics,
Elsevier, vol. 43(1), pages 237-257, February.
- J. A. Feigenbaum, 2001. "A statistical analysis of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 346-360.
- Zhou, Wei-Xing & Sornette, Didier, 2008. "Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(1), pages 243-260.
- Anders Johansen & Didier Sornette, 2010. "Shocks, Crashes and Bubbles in Financial Markets," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 53(2), pages 201-253.
- J. A. Feigenbaum, 2001. "More on a statistical analysis of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 527-532.
- A. Johansen & D. Sornette, 1999. "Financial ``Anti-Bubbles'': Log-Periodicity in Gold and Nikkei collapses," Papers cond-mat/9901268, arXiv.org.
- Anders Johansen & Didier Sornette, 1999. "Critical Crashes," Papers cond-mat/9901035, arXiv.org.
- David Br\'ee & Damien Challet & Pier Paolo Peirano, 2010.
"Prediction accuracy and sloppiness of log-periodic functions,"
- David S. Brée & Damien Challet & Pier Paolo Peirano, 2013. "Prediction accuracy and sloppiness of log-periodic functions," Quantitative Finance, Taylor & Francis Journals, vol. 13(2), pages 275-280, January.
- George Chang & James Feigenbaum, 2008. "Detecting log-periodicity in a regime-switching model of stock returns," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 723-738.
- George Chang & James Feigenbaum, 2006. "A Bayesian analysis of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 6(1), pages 15-36.
- David S. Bree & Nathan Lael Joseph, 2010. "Fitting the Log Periodic Power Law to financial crashes: a critical analysis," Papers 1002.1010, arXiv.org, revised Apr 2013.
- Sornette, D & Helmstetter, A, 2003. "Endogenous versus exogenous shocks in systems with memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 318(3), pages 577-591.
- Johansen, Anders & Sornette, Didier, 2000. "Download relaxation dynamics on the WWW following newspaper publication of URL," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(1), pages 338-345.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "This Time Is Different: Eight Centuries of Financial Folly," Economics Books, Princeton University Press, edition 1, volume 1, number 8973, April.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:36202. 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: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.