BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY

DOI10.1142/S0219024901001218zbMath1153.91791MaRDI QIDQ3523606

Didier Sornette, Anders Johansen

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

bubblespower lawscrashesemergent marketslog-periodic

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items

Evolving dynamics of trading behavior based on coordination game in complex networks ⋮ New JLS-factor model versus the standard JLS model: a case study on Chinese stock bubbles ⋮ Bayesian log-periodic model for financial crashes ⋮ 2000-2003 real estate bubble in the UK but not in the USA ⋮ Evidence of a worldwide stock market log-periodic anti-bubble since mid-2000 ⋮ Renormalization group analysis of the 2000-2002 anti-bubble in the US S\& P500 index: explanation of the hierarchy of five crashes and prediction ⋮ An evolution model of trading behavior based on peer effect in networks ⋮ BUBBLES AND CRASHES: OPTIMISM, TREND EXTRAPOLATION AND PANIC ⋮ NONPARAMETRIC ANALYSES OF LOG-PERIODIC PRECURSORS TO FINANCIAL CRASHES ⋮ Finite-time singularity in the dynamics of the world population, economic and financial indices ⋮ Prediction accuracy and sloppiness of log-periodic functions ⋮ From rational bubbles to crashes ⋮ Beauty of financial time series. Arificial insymmetrization patterns of stock market indices ⋮ Boolean network representation of contagion dynamics during a financial crisis ⋮ Oscillatory finite-time singularities in finance, population and rupture ⋮ Critical market crashes

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES
• CRASHES AS CRITICAL POINTS
• Extreme Value Theory as a Risk Management Tool
• Unnamed Item