Modeling the stock market prior to large crashes
Modeling the stock market prior to large crashes
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DOI：
10.1007/s100510050752
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发表时间：
1998-11
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通讯作者：
Anders Johansen;Didier Sornette Institute of Geophysics;Planetary Physics University of California;Los Angeles-
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作者：
Anders Johansen;Didier Sornette Institute of Geophysics;Planetary Physics University of California;Los Angeles-
我们建议股票市场价格波动模型的最低要求应包括时间不对称性、主体之间连接的鲁棒性、“有限理性”和概率描述。我们还广泛比较了先前提出的两种股票市场指数在大崩盘之前的对数周期行为模型。我们发现遵循上述要求的模型优于其他模型，具有很高的统计显着性。
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.