Renormalization Group Analysis of October Market Crashes

Preprint

22 April 1998

preprint
Published by arXiv in arXiv

https://doi.org/10.48550/arXiv.cond-mat/9710336

Abstract

The self-similar analysis of time series, suggested earlier by the authors, is applied to the description of market crises. The main attention is payed to the October 1929, 1987 and 1997 stock market crises, which can be successfully treated by the suggested approach. The analogy between market crashes and critical phenomena is emphasized.

Keywords

ANALYSIS OF TIME SERIES
RENORMALIZATION GROUP
CRITICAL PHENOMENA
OCTOBER MARKET
MARKET CRASHES
GROUP ANALYSIS
STOCK MARKET
TIME SERIES

All Related Versions

Version 1, 1997-10-30, ArXiv
Version 2, 1998-04-22, ArXiv
Version 1, RePEc (Unconfirmed version)
Published version: Modern Physics Letters B, 12 (02n03), 75.

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