Predicting Financial Crashes Using Discrete Scale Invariance
凝聚态物理
2007-05-23 v3
摘要
We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated crashes from 1929 to 1998 on stock markets as diverse as the US, Hong-Kong or the Russian market and on currencies. To our knowledge, no major financial crash preceded by an extended bubble has occurred in the past 2 decades without exhibiting such log-periodic signatures.
引用
@article{arxiv.cond-mat/9903321,
title = {Predicting Financial Crashes Using Discrete Scale Invariance},
author = {Anders Johansen and Didier Sornette and Olivier Ledoit},
journal= {arXiv preprint arXiv:cond-mat/9903321},
year = {2007}
}
备注
25 pages, 13 figures. Replaced with version accepted in J. of Risk. Title changed, 2 new figures as well as new text