Renormalization Group Analysis of October Market Crashes
- 10 February 1998
- journal article
- research article
- Published by World Scientific Pub Co Pte Ltd in Modern Physics Letters B
- Vol. 12 (02n03) , 75-84
- https://doi.org/10.1142/s0217984998000111
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
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