Criticality and phase transition in stock-price fluctuations.

@article{Kiyono2006CriticalityAP,
  title={Criticality and phase transition in stock-price fluctuations.},
  author={Ken Kiyono and Zbigniew R. Struzik and Yoshiharu Yamamoto},
  journal={Physical review letters},
  year={2006},
  volume={96 6},
  pages={068701}
}
We analyze the behavior of the U.S. S&P 500 index from 1984 to 1995, and characterize the non-Gaussian probability density functions (PDF) of the log returns. The temporal dependence of fat tails in the PDF of a ten-minute log return shows a gradual, systematic increase in the probability of the appearance of large increments on approaching black Monday in October 1987, reminiscent of parameter tuning towards criticality. On the occurrence of the black Monday crash, this culminates in an abrupt… CONTINUE READING
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