Booms and Crashes in Self-Similar Markets
Statistical Mechanics
2009-10-31 v1 Statistical Finance
Abstract
Sharp changes in time series representing market dynamics are studied by means of the self--similar analysis suggested earlier by the authors. These sharp changes are market booms and crashes. Such crises phenomena in markets are analogous to critical phenomena in physics. A simple classification of the market crisis phenomena is given.
Cite
@article{arxiv.cond-mat/9810092,
title = {Booms and Crashes in Self-Similar Markets},
author = {S. Gluzman and V. I. Yukalov},
journal= {arXiv preprint arXiv:cond-mat/9810092},
year = {2009}
}
Comments
1 file, 10 pages, RevTex