Critical Market Crashes

@article{Sornette2003CriticalMC,
  title={Critical Market Crashes},
  author={D. Sornette},
  journal={Physics Reports},
  year={2003},
  volume={378},
  pages={1-98}
}
  • D. Sornette
  • Published 2003
  • Physics, Economics
  • Physics Reports
This review is a partial synthesis of the book ``Why stock market crash'' (Princeton University Press, January 2003), which presents a general theory of financial crashes and of stock market instabilities that his co-workers and the author have developed over the past seven years. The study of the frequency distribution of drawdowns, or runs of successive losses shows that large financial crashes are ``outliers'': they form a class of their own as can be seen from their statistical signatures… Expand
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