Stock market crashes are outliers

被引：0
|
作者：
A. Johansen
D. Sornette
机构：
[1] CATS,Department of Earth and Space Science, and Institute of Geophysics and Planetary Physics
[2] Niels Bohr Institute,Laboratoire de Physique de la Matière Condensée (CNRS UMR6622)
[3] University of California,undefined
[4] Université de Nice-Sophia Antipolis,undefined
来源：
The European Physical Journal B - Condensed Matter and Complex Systems | 1998年 / 1卷
关键词：
PACS. 01.75.+mScience and society[:AND:]02.50.-rProbability theory, stochastic processes, and statistics - 89.90.+nOther areas of general interest to physicists;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We call attention against what seems to be a widely held misconception according to which large crashes are the largest events of distributions of price variations with fat tails. We demonstrate on the Dow Jones Industrial Average that with high probability the three largest crashes in this century are outliers. This result supports the suggestion that large crashes result from specific amplification processes that might lead to observable pre-cursory signatures.
引用
收藏
页码：141 / 143
页数：2
相关论文
共 50 条
  • [1] Stock market crashes are outliers
    Johansen, A
    Sornette, D
    [J]. EUROPEAN PHYSICAL JOURNAL B, 1998, 1 (02): : 141 - 143
  • [2] Stock market dynamics: Before and after stock market crashes
    Siokis, Fotios M.
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2012, 391 (04) : 1315 - 1322
  • [3] Predicting Stock Market Crashes in China
    Lleo, Sebastien
    Ziemba, Willlliam T.
    [J]. JOURNAL OF PORTFOLIO MANAGEMENT, 2018, 44 (05): : 125 - 135
  • [4] Rational panics and stock market crashes
    Barlevy, G
    Veronesi, P
    [J]. JOURNAL OF ECONOMIC THEORY, 2003, 110 (02) : 234 - 263
  • [5] Stock market crashes, firm characteristics, and stock returns
    Wang, Jia
    Meric, Gulser
    Liu, Zugang
    Meric, Ilhan
    [J]. JOURNAL OF BANKING & FINANCE, 2009, 33 (09) : 1563 - 1574
  • [6] Large Bets and Stock Market Crashes
    Kyle, Albert S.
    Obizhaeva, Anna A.
    [J]. REVIEW OF FINANCE, 2023, 27 (06) : 2163 - 2203
  • [7] Stock market crashes, precursors and replicas
    Sornette, D
    Johansen, A
    Bouchaud, JP
    [J]. JOURNAL DE PHYSIQUE I, 1996, 6 (01): : 167 - 175
  • [8] Adaptive expectations and stock market crashes
    Frankel, David M.
    [J]. INTERNATIONAL ECONOMIC REVIEW, 2008, 49 (02) : 595 - 619
  • [9] Equilibrium theory of stock market crashes
    Isaenko, Sergey
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2015, 60 : 73 - 94
  • [10] Stock market crashes and dynamics of aftershocks
    Kapopoulos, P
    Siokis, F
    [J]. ECONOMICS LETTERS, 2005, 89 (01) : 48 - 54
12345