Critical Market Crashes

@article{Sornette2003CriticalMC,
  title={Critical Market Crashes},
  author={Didier Sornette},
  journal={Physics Reports},
  year={2003},
  volume={378},
  pages={1-98}
}
  • D. Sornette
  • Published 28 January 2003
  • Economics
  • Physics Reports
View PDF on arXiv
295 Citations
Highly Influential Citations
18
Background Citations
111
Methods Citations
24
Results Citations
9

295 Citations

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Citation Type

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References

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Large financial crashes
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Abstract:We propose a non linear Langevin equation as a model for stock market fluctuations and crashes. This equation is based on an identification of the different processes influencing the demand…
Significance of Log-Periodic Precursors to Financial Crashes
We clarify the status of log-periodicity associated with speculative bubbles preceding financial crashes. In particular, we address Feigenbaum's criticism ([A article="1469-7688/1/3/306"] Feigenbaum…
Crashes at Critical Points
We study a rational expectation model of bubbles and crashes. The model has two components: (1) our key assumption is that a crash may be caused by local self-reinforcing imitation between noise…
Imprints of log-periodic self-similarity in the stock market
Abstract:Detailed analysis of the log-periodic structures as precursors of the financial crashes is presented. The study is mainly based on the German Stock Index (DAX) variation over the 1998 period…
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A hierarchical model of financial crashes
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The New York Stock Market in the 1920s and 1930s: Did Stock Prices Move Together Too Much?
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