Physics – Condensed Matter – Statistical Mechanics
Scientific paper
1997-10-30
Mod. Phys. Lett. B 12, 75-84 (1998)
Physics
Condensed Matter
Statistical Mechanics
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.
Gluzman Simon
Yukalov V. I.
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