Showing 1 - 10 of 49
Contrary to common belief, both the Earth's human population and its economic output have grown faster than exponential, i.e., in a super-Malthusian mode, for most of the known history. These growth rates are compatible with a spontaneous singularity occurring at the same critical time 2052±10...
Persistent link: https://www.econbiz.de/10011057652
We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We extend our previous renormalization group model of stock market prices prior to and after crashes (D. Sornette, A. Johansen, J.P. Bouchaud, J....
Persistent link: https://www.econbiz.de/10011060039
We follow up our previous conjecture that large stock market crashes are analogous to critical points in statistical physics. The term “critical” refers to regimes of cooperative behavior, such as magnetism at the Curie temperature and liquid–gas transitions, and is characterized by the...
Persistent link: https://www.econbiz.de/10011060585
We describe an experiment on the dynamical response of the internaut population surfing the World-Wide-Web to a Dirac-like perturbation, specifically how the popularity of a web site evolves and relaxes as a function of time in response to the publication of a notice/advertisement in a...
Persistent link: https://www.econbiz.de/10011064005
In a recent preprint (Dialog in e-mail traffic, preprint cond-mat/0304433), the temporal dynamics of an e-mail network has been investigated by Eckmann, Moses and Sergi. Specifically, the time period between an e-mail message and its reply were recorded. It will be shown here that their data...
Persistent link: https://www.econbiz.de/10011057880
A new experiment measuring the dynamical response of the Internet population to a “point-like” perturbation has been performed. The nature of the perturbation was that of an announcement, specifically a web-interview on stock market crashes, which contained the URL to the author's articles...
Persistent link: https://www.econbiz.de/10011058343
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained from (often detrended) historic asset prices. Such a...
Persistent link: https://www.econbiz.de/10011061683
Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an important role in risk assessment of investment strategies. As they incorporate higher ( two) order correlations, they offer a better measure of real market risks than the variance or other cumulants of...
Persistent link: https://www.econbiz.de/10011064469
This paper presents an exclusive classification of the largest crashes in Dow Jones industrial average, SP500 and NASDAQ in the past century. Crashes are objectively defined as the top-rank filtered drawdowns (loss from the last local maximum to the next local minimum disregarding noise...
Persistent link: https://www.econbiz.de/10010591580
Through simple analytical calculations and numerical simulations, we demonstrate the generic existence of a self-organized macroscopic state in any large multivariate system possessing non-vanishing average correlations between a finite fraction of all pairs of elements. The coexistence of an...
Persistent link: https://www.econbiz.de/10010873012