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 under the influence of the variable noise intensity, depending on the particle position . Based on the empirical data the approximate estimation of the Kramers-Moyal coefficients allow to predicate quite definitely the behavior of the potential introduced by and the volatility . 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. \
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