Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes
We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated crashes from 1929 to 1998 on stock markets as diverse as the US, Hong-Kong or the Russian market and on currencies. To our knowledge, no major financial crash preceded by an extended bubble has occurred in the past 2 decades without exhibiting a similar log-periodic signature
|Date of creation:||21 Mar 1999|
|Date of revision:|
|Note:||Type of Document - postscript; prepared on Latex; pages: 20 ; figures: 11 fugures included. Submitted to Journal of Risk|
|Contact details of provider:|| Web page: http://126.96.36.199 |
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.:
- 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.
- A. Johansen & D. Sornette, 1998. "Stock market crashes are outliers," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 1(2), pages 141-143, January.
- Blanchard, Olivier Jean, 1979. "Speculative bubbles, crashes and rational expectations," Economics Letters, Elsevier, vol. 3(4), pages 387-389.
- Sornette, Didier & Johansen, Anders, 1998. "A hierarchical model of financial crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 261(3), pages 581-598.
- Sornette, Didier & Johansen, Anders, 1997. "Large financial crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 411-422.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Kirill Ilinski, 1999. "Critical Crashes?," Papers cond-mat/9903142, arXiv.org.
- S. Gluzman & V. I. Yukalov, 1997. "Renormalization Group Analysis of October Market Crashes," Papers cond-mat/9710336, arXiv.org, revised Apr 1998.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:9903006. 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: (EconWPA)
If references are entirely missing, you can add them using this form.