Modeling the Stock Market prior to large crashes

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dc.creatorJohansen, Anders
dc.creatorSornette, Didier
dc.date1998-11-05
dc.date.accessioned2026-07-07T03:11:53Z
dc.date.available2026-07-07T03:11:53Z
dc.descriptionWe 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.
dc.description18 pages with 4 figures. Submitted to Eur.Phys.J
dc.identifierhttps://arxiv.org/abs/cond-mat/9811066
dc.identifierhttp://arxiv.org/abs/cond-mat/9811066
dc.identifierEur. Phys. J. B 9, pp. 167-174 (1999)
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/28747
dc.subjectCondensed Matter
dc.titleModeling the Stock Market prior to large crashes
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