منابع مشابه
Rapid Note Stock market crashes are outliers
We call attention against what seems to be a widely held misconception according to which large crashes are the largest events of distributions of price variations with fat tails. We demonstrate on the Dow Jones Industrial Average that with high probability the three largest crashes in this century are outliers. This result supports the suggestion that large crashes result from specific amplifi...
متن کاملLarge Stock Market Price Drawdowns Are Outliers
Drawdowns (loss from the last local maximum to the next local minimum) offer a more natural measure of real market risks than the variance, the value-at-risk or other measures based on fixed time scale distributions of returns. Here, we extend considerably our previous analysis of drawdowns by analyzing the major financial indices, the major currencies, gold, the twenty largest U.S. companies i...
متن کاملStock market crashes , Precursors and
We present an analysis of the time behavior of the S&P500 (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and characteristic oscillations of relaxation. Combined, they all suggest a picture of a kind of dynamical critical point, with characteristic log-periodic signatures, similar...
متن کاملStock Market Crashes, Precursors and Replicas
— We present an analysis of the time behavior of theS&P500 (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and characteristic oscillations of relaxation. Combined, they all suggest a picture of a kind of dynamical critical point, with characteristic logperiodic signatures, similar...
متن کاملStock market crashes as social phase transitions
Stock market crashes are traumatic events that affect the lives of millions of people around the globe and have tremendous economic implications. Crashes are not only dramatic, but often completely unexpected. The 1987 crash, for example, was not induced by any obvious trigger. Even after the fact, it is hard to find the reason for the crash – Why did the market crash in October rather than in ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The European Physical Journal B
سال: 1998
ISSN: 1434-6028
DOI: 10.1007/s100510050163