English

Market dynamics after large financial crash

Statistical Finance 2008-12-02 v1 Data Analysis, Statistics and Probability Physics and Society

Abstract

The model describing market dynamics after a large financial crash is considered in terms of the stochastic differential equation of Ito. Physically, the model presents an overdamped Brownian particle moving in the nonstationary one-dimensional potential UU under the influence of the variable noise intensity, depending on the particle position xx. Based on the empirical data the approximate estimation of the Kramers-Moyal coefficients D1,2D_{1,2} allow to predicate quite definitely the behavior of the potential introduced by D1=U/xD_1 = - \partial U /\partial x and the volatility D2\sim \sqrt{D_2}. It has been shown that the presented model describes well enough the best known empirical facts relative to the large financial crash of October 1987. \

Keywords

Cite

@article{arxiv.0807.2083,
  title  = {Market dynamics after large financial crash},
  author = {G. L. Buchbinder and K. M. Chistilin},
  journal= {arXiv preprint arXiv:0807.2083},
  year   = {2008}
}

Comments

6 pages, 6 figures, RevTex

R2 v1 2026-06-21T11:00:06.559Z