MODELING THE STOCK MARKET PRIOR TO LARGE CRASHES

作者: A. Johansen , D. Sornette

DOI: 10.1007/S100510050752

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摘要: 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 probabilistic description. also compare extensively two previously proposed models log-periodic behavior index prior large crash. find which follows above outperforms other high statistical significance.