Abstract:
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.
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Received 2 November 1998 and Received in final form 5 November 1998
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Johansen, A., Sornette, D. Modeling the stock market prior to large crashes. Eur. Phys. J. B 9, 167–174 (1999). https://doi.org/10.1007/s100510050752
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DOI: https://doi.org/10.1007/s100510050752