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Can I read Origin of crashes in three US stock markets: shocks and bubbles on EtoBox?
Origin of crashes in three US stock markets: shocks and bubbles by Anders Johansen is a Physics and Astronomy article available to read on EtoBox.
What is Origin of crashes in three US stock markets: shocks and bubbles about?
This paper presents an exclusive classiÿcation of the largest crashes in Dow Jones industrial average, SP500 and NASDAQ in the past century. Crashes are objectively deÿned as the top-rank ÿltered drawdowns (loss from the last local maximum to the next local minimum disregarding noise uctuations), where the size of the ÿlter is determined by the historical volatility of the index. It is shown that all crashes can be linked to either an external shock, e.g., outbreak of war, or a log-periodic power law (LPPL) bubble with an empirically well-deÿned complex value of the exponent. Conversely, with one sole exception all previously identiÿed LPPL bubbles are followed by a top-rank drawdown. As a consequence, the analysis presented suggest a one-to-one correspondence between market crashes deÿned as top-rank ÿltered drawdowns on one hand and surprising news and LPPL bubbles on the other. We attribute this correspondence to the e cient market hypothesis e ective on two quite di erent time scales depending on whether the market instability the crash represent is internally or externally generated.
Who reads Origin of crashes in three US stock markets: shocks and bubbles?
It is typically read by researchers, students, and practitioners in Physics and Astronomy.
- Author
- Anders Johansen
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0378-4371)
- Published
- 2004
- Language
- EN
- Field
- Physics and Astronomy (Physical Sciences)