Critical phenomena with renormalization group analysis of a hierarchical model of financial crashes

作者: Tiankuang Tim Wu

DOI:

关键词:

摘要:

参考文章(98)
GIULIA IORI, AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS International Journal of Modern Physics C. ,vol. 10, pp. 1149- 1162 ,(1999) , 10.1142/S0129183199000930
Wei-Xing Zhou, Didier Sornette, Fundamental factors versus herding in the 2000–2005 US stock market and prediction Physica A-statistical Mechanics and Its Applications. ,vol. 360, pp. 459- 482 ,(2006) , 10.1016/J.PHYSA.2005.06.084
Anders Johansen, Didier Sornette, Hiroshi Wakita, Urumu Tsunogai, William I. Newman, Hubert Saleur, Discrete Scaling in Earthquake Precursory Phenomena: Evidence in the Kobe Earthquake, Japan Journal De Physique I. ,vol. 6, pp. 1391- 1402 ,(1996) , 10.1051/JP1:1996143
Wei-Xing Zhou, Didier Sornette, Antibubble and prediction of China's stock market and real-estate Physica A-statistical Mechanics and Its Applications. ,vol. 337, pp. 243- 268 ,(2004) , 10.1016/J.PHYSA.2004.01.051
E. Egenter, T. Lux, D. Stauffer, FINITE-SIZE EFFECTS IN MONTE CARLO SIMULATIONS OF TWO STOCK MARKET MODELS Physica A-statistical Mechanics and Its Applications. ,vol. 268, pp. 250- 256 ,(1999) , 10.1016/S0378-4371(99)00059-X
D. Stauffer, N. Jan, Sharp peaks in the percolation model for stock markets Physica A-statistical Mechanics and Its Applications. ,vol. 277, pp. 215- 219 ,(2000) , 10.1016/S0378-4371(99)00587-7
Anthony Barcellos, The Fractal Geometry of Mandelbrot. College Mathematics Journal. ,vol. 15, pp. 98- 114 ,(1984) , 10.2307/2686514
Ramazan Gençay, Nikola Gradojevic, Crash of '87 — Was it expected?: Aggregate market fears and long-range dependence Journal of Empirical Finance. ,vol. 17, pp. 270- 282 ,(2010) , 10.1016/J.JEMPFIN.2009.09.006
Kenneth G. Wilson, Problems in Physics with many Scales of Length Scientific American. ,vol. 241, pp. 158- 179 ,(1979) , 10.1038/SCIENTIFICAMERICAN0879-158