Critical Market Crashes
@article{Sornette2003CriticalMC,
title={Critical Market Crashes},
author={D. Sornette},
journal={Physics Reports},
year={2003},
volume={378},
pages={1-98}
}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… CONTINUE READING
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