Modeling the Stock Market prior to large crashes
Condensed Matter
2007-05-23 v1
Abstract
We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, ``bounded rationality'' and a probabilistic description. We also compare extensively two previously proposed models of log-periodic behavior of the stock market index prior to a large crash. We find that the model which follows the above requirements outperforms the other with a high statistical significance.
Keywords
Cite
@article{arxiv.cond-mat/9811066,
title = {Modeling the Stock Market prior to large crashes},
author = {Anders Johansen and Didier Sornette},
journal= {arXiv preprint arXiv:cond-mat/9811066},
year = {2007}
}
Comments
18 pages with 4 figures. Submitted to Eur.Phys.J