Related papers: Critical Crashes?
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…
We propose a picture of stock market crashes as critical points in a hierachical system with discrete scaling. The critical exponent is then complex, leading to log-periodic fluctuations in stock market indexes. We present ``experimental''…
Critical transitions, or large changes in the state of a system after a small change in the system's external conditions or parameters, commonly occur in a wide variety of disciplines, from the biological and social sciences to physics.…
We discuss the dynamics of finite systems within molecular dynamics models. Signatures of a critical behavior are analyzed and compared to experimental data both in nucleus-nucleus and metallic cluster collisions. We suggest the possibility…
Our aim in this set of lectures is to give an introduction to critical phenomena that emphasizes the emergence of and the role played by diverging length-scales. It is now accepted that renormalization group gives the basic understanding of…
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…
We argue that the word ``critical'' in the title is not purely literary. Based on our and other previous work on nonlinear complex dynamical systems, we summarize present evidence, on the Oct. 1929, Oct. 1987, Oct. 1987 Hong-Kong, Aug. 1998…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…
The self-similar analysis of time series, suggested earlier by the authors, is applied to the description of market crises. The main attention is payed to the October 1929, 1987 and 1997 stock market crises, which can be successfully…
We critically review recent claims that financial crashes can be predicted using the idea of log-periodic oscillations or by other methods inspired by the physics of critical phenomena. In particular, the October 1997 `correction' does not…
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes…
We study the Johansen-Ledoit-Sornette (JLS) model of financial market crashes (Johansen, Ledoit, and Sornette [2000] "Crashes as Critical Points." Int. J. Theor. Appl. Finan. 3(2) 219-255). On our view, the JLS model is a curious case from…
Catastrophes of all kinds can be roughly defined as short duration-large amplitude events following and followed by long periods of "ripening". Major earthquakes surely belong to the class of 'catastrophic' events. Because of the space-time…
Many studies investigated the application of statistical mechanics to damage phenomena. However, so far the association of damage with statistical mechanics is far from completely developed. One of the most successful approaches maps the…
Recent progress in numerical study of the short-time critical dynamics is briefly reviewed.
An introductory review to short-time critical dynamics is given. From the scaling relation valid already in the early stage of the evolution of a system at or near the critical point, one derives power law behaviour for various quantities.…
Extreme events, such as rogue waves, earthquakes and stock market crashes, occur spontaneously in many dynamical systems. Because of their usually adverse consequences, quantification, prediction and mitigation of extreme events are highly…
We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We extend our previous renormalization group model of stock market prices prior to and after…
Lecture given at the workshop "Mathematical aspects of theories of gravitation", Stefan Banach International Mathematical Centre, 7 March 1996. A mini-introduction to critical phenomena in gravitational collapse is combined with a more…
Distribution crises are manifested by a great discrepancy between the demand and the supply of a critically important good, for a period of time. In this paper, we suggest a hybrid market mechanism for minimising the negative consequences…