Modeling the Stock Market prior to large crashes

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We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, ``bounded rationality'' and a probabilistic description. We also compare extensively two previously proposed models of log-periodic behavior of the stock market index prior to a large crash. We find that the model which follows the above requirements outperforms the other with a high statistical significance.
18 pages with 4 figures. Submitted to Eur.Phys.J

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Condensed Matter

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http://salesiana.dossiersoluciones.com/handle/123456789/28747

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/9811066
 http://arxiv.org/abs/cond-mat/9811066
 Eur. Phys. J. B 9, pp. 167-174 (1999)

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arXiv