Why Stock Markets Crash: Critical Events in Complex Financial Systems

By R. Gorvett. 2005

635 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/245e5330352620fe3ade7d87d81cb84315116115

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Citations in the corpus

The “New” Science of Networks (2004, background): “…(Young 1998), co-operation (Axelrod 1984, Glance & Huberman 1993), social disorder (Lohmann 1994), or ﬁnancial markets (Mackay 1932, Shiller 2000, Sornette 2003), individuals making decisions frequently pay attention to the actions or decisions of contagion, where decisions are “transmitted”…”
Discrete hierarchical organization of social group sizes (2004, background): “The existence of a discrete hierarchy of group sizes may provide a key ingredient in rationalizing the reported existence of DSI in financial time series in socalled ‘bubble’ regimes characterized by strong herding behaviours between investors (Sornette 2003).”
Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese Stock Market Bubbles (2009, unknown): “The second is the (H, q)-derivative of the logarithmic prices, which has been successfully applied to financial crashes (Zhou and Sornette, 2003b) and critical ruptures (Zhou and Sornette, 2002b) for the detection of log-periodic components.”
Dragon-Kings, Black Swans and the Prediction of Crises (2009, methodology): “We refer to the book of Sornette [64] for a detailed description and the review of many empirical tests and of several forward”
25 Years of Self-Organized Criticality: Solar and Astrophysics (2014, background): “…firing, spread of diseases), in laboratory physics (Barkhausen effect, magnetic domain patterns, Ising model, tokamak plasmas; Jensen 1998), financial physics (stock market crashes; Sornette 2003), and social sciences (urban growth, traffic, global networks, internet) or sociophysics (Galam 2012).”
The Economic Crisis is a Crisis for Economic Theory (2010, background): “Sornette (2003) makes the same point, that a stock market crash is not the result of short-term exogenous events, but rather involves a long-term endogenous buildup, with exogenous events acting merely as triggers. In particular, he shows that financial crashes are the result of the ‘spontaneous eme”
Negative bubbles and shocks in cryptocurrency markets (2016, background): “…2004), agent-based modelling (see e.g. Hommes, 2006; Le Baron, 2006), income-tax evasion (Pickhardt and Seibold, 2014), speculative bubbles (Johansen et al., 2000; Sornette, 2003) and the impact of high-frequency trading upon the stability of global financial markets (Filimonov and Sornette, 2012).”
A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model (2011, methodology): “Superﬁcially, ﬁnancial bubbles are easily deﬁned as transient upward accelerations of the observed price above a fundamental value [1, 3, 4].”
Patterns in high-frequency FX data: discovery of 12 empirical scaling laws (2008, background): “But how many times longer? The scaling laws described in this paper provide a surprisingly accurate estimate and highlight the importance of not only considering tail events (Sornette 2002 ), but set these in perspective with the remarkably long coastline of price changes preceding them.”
Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices (2015, background): “It should be pointed out that those studies that document the existence of bubbles argue that bubbles are caused by such factors as lax regulations or a breakdown in regulations (Shiller, 2000; Vogel, 2010; Sornette, 2003; Herrera and Perry, 2003), growth prospects (Shiller 2000; Pastor and Veronesi”
Prediction (2010, unknown): “…process via Braxton-hicks contractions of the uterus) [139, 138], financial crashes (monitoring of bursts of price acceleration and various risk measures via options) [141, 63, 65, 134] and earthquakes (monitoring of precursory eismic, electromagnitic and chemical activity) [147, 66, 10].”
Is there a real-estate bubble in the US? (2005, background): “Gh, 89.90.+n”
Self-organizing Ising model of financial markets (2005, background): “This may explain the occurrence of crashes [ 14 ].”