Predicting critical crashes? A new restriction for the free variables

DOI10.1016/S0378-4371(02)01535-2zbMath1010.91037arXivcond-mat/0204295MaRDI QIDQ1859760

Hans-Christian Graf von Bothmer, Christian Meister

Publication date: 19 February 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0204295

zbMATH Keywords

inequalityDow Jones index

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (9)

Modified profile likelihood inference and interval forecast of the burst of financial bubbles ⋮ Liquidity crisis detection: an application of log-periodic power law structures to default prediction ⋮ A stable and robust calibration scheme of the log-periodic power law model ⋮ NONPARAMETRIC ANALYSES OF LOG-PERIODIC PRECURSORS TO FINANCIAL CRASHES ⋮ Strict local martingales and optimal investment in a Black–Scholes model with a bubble ⋮ Prediction accuracy and sloppiness of log-periodic functions ⋮ Detecting log-periodicity in a regime-switching model of stock returns ⋮ A Bayesian analysis of log-periodic precursors to financial crashes ⋮ Inferring fundamental value and crash nonlinearity from bubble calibration

Cites Work

• DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES
• CRASHES AS CRITICAL POINTS

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