Modeling the Stock Market prior to large crashes

Details Modeling the Stock Market prior to large crashes Modeling the Stock Market prior to large crashes

1998-11-05

arxiv.org/abs/cond-mat/9811066v1

Eur. Phys. J. B 9, pp. 167-174 (1999)

Physics

Condensed Matter

18 pages with 4 figures. Submitted to Eur.Phys.J

Scientific paper

We 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.

Affiliated with

Also associated with

No associations

Rating

Modeling the Stock Market prior to large crashes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Modeling the Stock Market prior to large crashes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Modeling the Stock Market prior to large crashes will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-584424