Are financial crashes predictable?
نویسندگان
چکیده
منابع مشابه
Are financial crashes predictable?
– 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 appear to be the accumulation point of a geometric series of local minima. It is rather tempting to see financial crashes as the analogue of critical point...
متن کاملComment on " Are Financial Crashes Predictable? "
In a recent paper published in this journal, Laloux et al. [1] criticized the use of eq. p (t) = A + B (t c − t) β + C (t c − t) β cos (ω ln (t c − t) − φ) (1) as a predictive tool for the detection of periods of large declines in the financial markets as first suggested in [2]. The criticism was based on a rather primitive " eye-balling analysis " lacking the consistent methodology used in the...
متن کاملAre Nancial Crashes Predictable?
{ We critically review recent claims that nancial 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 appear to be the accumulation point of a geometric series of local minima. It is rather tempting to see nancial crashes as the analogue of critical points in...
متن کاملComment on "Are nancial crashes predictable?"
as a predict ive tool for the detect ion of periods of large declines in the nancial markets as rst suggested in [2]. The crit icism was based on a rather primit ive \ eye−balling analysis" lacking the consistent methodology used in the ident i cat ion of more than twenty crashes on the US, Ho ng−Kong and FX markets alone which all were preceded by a market bubble parameterised by eq. (1) [3]. ...
متن کاملLarge financial crashes
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 crashes [D. Sornette et al., J.Phys.I France 6, 167, 1996] by including the first non-linear correction. This predicts the existence of a log-frequency shif...
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ژورنال
عنوان ژورنال: Europhysics Letters (EPL)
سال: 1999
ISSN: 0295-5075,1286-4854
DOI: 10.1209/epl/i1999-00122-9