RENORMALIZATION-GROUP ANALYSIS OF OCTOBER MARKET CRASHES

Authors
GLUZMAN S YUKALOV VI
Citation
S. Gluzman et Vi. Yukalov, RENORMALIZATION-GROUP ANALYSIS OF OCTOBER MARKET CRASHES, Modern physics letters B, 12(2-3), 1998, pp. 75-84
Citations number
21
Categorie Soggetti
Physics, Applied","Physics, Condensed Matter","Physycs, Mathematical
Journal title
Modern physics letters B → ACNP
ISSN journal
02179849
Volume
12
Issue
2-3
Year of publication
1998
Pages
75 - 84
Database
ISI
SICI code
0217-9849(1998)12:2-3<75:RAOOMC>2.0.ZU;2-F
Abstract
The self-similar analysis of time series, suggested earlier by the aut hors, is applied to the description of market crises. The main attenti on is payed to the October 1929, 1987 and 1997 stock market crises, wh ich can be successfully treated by the suggested approach. The analogy between market crashes and critical phenomena is emphasized.