论文信息 - Stock market crashes are outliers

Stock market crashes are outliers

Abstract:We call attention against what seems to be a widely held misconception according to which large crashes are the largest events of distributions of price variations with fat tails. We demonstrate on the Dow Jones Industrial Average that with high probability the three largest crashes in this century are outliers. This result supports the suggestion that large crashes result from specific amplification processes that might lead to observable pre-cursory signatures.

Didier Sornette | Anders Johansen

[1] James D. Hamilton. Time Series Analysis , 1994 .

[2] D. Sornette,et al. Precursors, aftershocks, criticality and self-organized criticality , 1998 .

[3] Didier Sornette,et al. Option pricing in the presence of extreme fluctuations , 1997 .

[4] P. Freund,et al. Discrete Scale Invariance and the , 1997 .

[5] Renormalization Group Analysis of October Market Crashes , 1997, cond-mat/9710336.

[6] Rama Cont. Scaling and correlation in financial data , 1997 .

[7] D. Sornette,et al. ”Direct” causal cascade in the stock market , 1998 .

[8] M. Marsili,et al. A Prototype Model of Stock Exchange , 1997, cond-mat/9709118.

[9] Rama Cont,et al. Comment on "Turbulent cascades in foreign exchange markets" , 1996, cond-mat/9607120.

[10] Olivier Ledoit,et al. CRASHES AS CRITICAL POINTS , 1998, cond-mat/9810071.