Market dynamics after large financial crash

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dc.creatorBuchbinder, G. L.
dc.creatorChistilin, K. M.
dc.date2008-07-14
dc.date.accessioned2026-07-07T12:05:55Z
dc.date.available2026-07-07T12:05:55Z
dc.descriptionThe 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 $U$ under the influence of the variable noise intensity, depending on the particle position $x$. Based on the empirical data the approximate estimation of the Kramers-Moyal coefficients $D_{1,2}$ allow to predicate quite definitely the behavior of the potential introduced by $D_1 = - \partial U /\partial x$ and the volatility $\sim \sqrt{D_2}$. 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. \
dc.description6 pages, 6 figures, RevTex
dc.identifierhttps://arxiv.org/abs/0807.2083
dc.identifierhttp://arxiv.org/abs/0807.2083
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208507
dc.subjectStatistical Finance
dc.subjectData Analysis, Statistics and Probability
dc.subjectPhysics and Society
dc.titleMarket dynamics after large financial crash
dc.typetext

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