Renormalization Group Analysis of October Market Crashes

Physics – Condensed Matter – Statistical Mechanics

Scientific paper

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Corrections are made to match the published version

Scientific paper

10.1142/S0217984998000111

The self-similar analysis of time series, suggested earlier by the authors,
is applied to the description of market crises. The main attention is payed to
the October 1929, 1987 and 1997 stock market crises, which can be
successfully treated by the suggested approach. The analogy between market
crashes and critical phenomena is emphasized.

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