(2004) Origins of crashes in 3 US stock markets: shocks and bubbles. Physica A. 338 135-142.Anders Johansen, 2004. " Origin of Crashes in 3 US stock markets: Shocks and Bubbles ," Papers cond-mat/0401210, arXiv.org.Johansen, A., 2004, Origin of crashes in 3 US stock markets: ...
Indeed, stock market systems have some fundamental features in common with statistical mechanics systems, such as a system of spins in a magnet. Both systems are composed of many interacting elements (investors or spins) that have an inclination to conform with one another. For spins, this ‘...
We propose a picture of stock market crashes as critical points in a hierachical system with discrete scaling. The critical exponent is then complex, leading to log-periodic fluctuations in stock market indexes. We present ``experimental'' evidence in favor of this prediction. This picture is ...
In finance, tocorner the marketrefers to getting sufficient control of, for example, a particular stock to allow the stock price to be manipulated. 127. Quinn (2010). 128. Darwiche (1986, p. 25). 129. Fitch (2010). 130. Fitch (2010). ...
The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market We investigate the local fractal properties of the financial time series based on the whole history evolution (1991鈥 2007) of the Warsaw Stock Exchange Ind... D Grech,G Pamu...
Stock market crashes, unfortunately, are inevitable and many market analysts today are predicting severe, perhaps historic, market declines in the months and years ahead. Is diversifying your portfolio with gold, as some suggest, a smart strategy to bolster your portfolio against the economic turmoil...
This paper develops a two-step estimation methodology that allows us to apply catastrophe theory to stock market returns with time-varying volatility and to model stock market crashes. In the first step, we utilize high-frequency data to estimate daily realized volatility from returns. Then, we ...
Astock market crashis a sudden, sharp decline in the value of stocks, often occurring over a short period. This rapid drop, typically defined as a double-digit percentage loss in major stock indexes such as the S&P 500 or theDow Jones Industrial Averagecan unfold over a few days or weeks...
Banking crises and stock market crashes in the US: the response of top shares in historical perspective Draft for the 2014 North American Summer Meeting of... Salvatore MorelliMorelli, S, 2012, "Banking crises and stock market crashes in the US: the response of top income shares in ...
We start this chapter with a deeper look at how crash prediction models such as the bond–stock earnings yield differential (BSEYD) work. Next, we explore the BSEYD's ability to predict crashes through a case study of the market meltdowns in China, Iceland, and the US in the 2007–200...