Evidence of a worldwide stock market log-periodic anti-bubble since mid-2000
Author
Abstract
Suggested Citation
DOI: 10.1016/j.physa.2002.12.001
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- W. -X. Zhou & D. Sornette, 2002. "Evidence of a Worldwide Stock Market Log-Periodic Anti-Bubble Since Mid-2000," Papers cond-mat/0212010, arXiv.org, revised Aug 2003.
References listed on IDEAS
- Y. Malevergne & D. Sornette, 2001.
"Multi-dimensional rational bubbles and fat tails,"
Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 533-541.
- Yannick Malevergne & Didier Sornette, 2001. "Multi-dimensional rational bubbles and fat tails," Post-Print hal-02312893, HAL.
- Lux, Thomas & Sornette, Didier, 2002.
"On Rational Bubbles and Fat Tails,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 589-610, August.
- Thomas Lux & D. Sornette, 1999. "On Rational Bubbles and Fat Tails," Papers cond-mat/9910141, arXiv.org.
- Sornette, D & Malevergne, Y, 2001.
"From rational bubbles to crashes,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 40-59.
- Didier Sornette & Yannick Malevergne, 2001. "From rational bubbles to crashes," Post-Print hal-02312895, HAL.
- D. Sornette & Y. Malevergne, 2001. "From Rational Bubbles to Crashes," Papers cond-mat/0102305, arXiv.org.
- D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
- Ide, Kayo & Sornette, Didier, 2002. "Oscillatory finite-time singularities in finance, population and rupture," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 307(1), pages 63-106.
- Larry Neal & Marc Weidenmier, 2002. "Crises in the Global Economy from Tulips to Today: Contagion and Consequences," NBER Working Papers 9147, National Bureau of Economic Research, Inc.
- Olivier J. Blanchard & Mark W. Watson, 1982. "Bubbles, Rational Expectations and Financial Markets," NBER Working Papers 0945, National Bureau of Economic Research, Inc.
- D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 452-471.
- William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005.
"Long-Term Global Market Correlations,"
The Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January.
- William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2001. "Long-Term Global Market Correlations," NBER Working Papers 8612, National Bureau of Economic Research, Inc.
- William Goetzmann & Lingfeng Li & K. Rouwenhorst, 2001. "Long-Term Global Market Correlations," Yale School of Management Working Papers ysm237, Yale School of Management, revised 01 Jan 2008.
- Anders Johansen & Olivier Ledoit & Didier Sornette, 2000.
"Crashes As Critical Points,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 219-255.
- Johansen, Anders & Ledoit, Olivier & Sornette, Didier, 1998. "Crashes at Critical Points," University of California at Los Angeles, Anderson Graduate School of Management qt2s77r0rk, Anderson Graduate School of Management, UCLA.
- Cass, David, 1992. "Sunspots and Incomplete Financial Markets: The General Case," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 2(3), pages 341-358, July.
- D. Sornette & K. Ide, 2003. "Theory Of Self-Similar Oscillatory Finite-Time Singularities," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 267-275.
- A. Johansen & D. Sornette, 1998. "Stock market crashes are outliers," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 1(2), pages 141-143, January.
- Anders Johansen & Didier Sornette, 1999. "Critical Crashes," Papers cond-mat/9901035, arXiv.org.
- Wei-Xing Zhou & Didier Sornette, 2002. "Statistical Significance Of Periodicity And Log-Periodicity With Heavy-Tailed Correlated Noise," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 137-169.
- Blanchard, Olivier Jean, 1979. "Speculative bubbles, crashes and rational expectations," Economics Letters, Elsevier, vol. 3(4), pages 387-389.
- B. M. Roehner & D. Sornette, 2000. ""Thermometers" of Speculative Frenzy," Papers cond-mat/0001353, arXiv.org.
- D. Sornette & J. V. Andersen, 2002. "A Nonlinear Super-Exponential Rational Model Of Speculative Financial Bubbles," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 171-187.
- Piotr Gnacinski & Danuta Makowiec, 2003. "Another type of log-periodic oscillations on Polish stock market?," Papers cond-mat/0307323, arXiv.org, revised Aug 2003.
- Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272.
- Sornette, Didier & Johansen, Anders, 1998. "A hierarchical model of financial crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 261(3), pages 581-598.
- Anders Johansen & Didier Sornette, 2000. "Evaluation Of The Quantitative Prediction Of A Trend Reversal On The Japanese Stock Market In 1999," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 359-364.
- Bordo, Michael D. & Murshid, Antu Panini, 2006.
"Globalization and changing patterns in the international transmission of shocks in financial markets,"
Journal of International Money and Finance, Elsevier, vol. 25(4), pages 655-674, June.
- Michael D. Bordo & Antu Panini Murshid, 2002. "Globalization and Changing Patterns in the International Transmission of Shocks in Financial Markets," NBER Working Papers 9019, National Bureau of Economic Research, Inc.
- D. Sornette & J. V. Andersen, 2001. "A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles," Papers cond-mat/0104341, arXiv.org, revised Apr 2002.
- Anders Johansen & Didier Sornette, 2000. "The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash," Papers cond-mat/0004263, arXiv.org, revised May 2000.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012. "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 369-384.
- Sornette, Didier & Zhou, Wei-Xing, 2006.
"Predictability of large future changes in major financial indices,"
International Journal of Forecasting, Elsevier, vol. 22(1), pages 153-168.
- D. Sornette & W. -X. Zhou, 2003. "Predictability of large future changes in major financial indices," Papers cond-mat/0304601, arXiv.org, revised Aug 2004.
- Thomas Lux, 2009. "Applications of Statistical Physics in Finance and Economics," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 9, Edward Elgar Publishing.
- Lux, Thomas, 2008. "Applications of statistical physics in finance and economics," Kiel Working Papers 1425, Kiel Institute for the World Economy (IfW Kiel).
- Zhou, Wei-Xing & Sornette, Didier, 2004.
"Antibubble and prediction of China's stock market and real-estate,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(1), pages 243-268.
- W. -X. Zhou & D. Sornette, 2003. "Antibubble and Prediction of China's stock market and Real-Estate," Papers cond-mat/0312149, arXiv.org.
- Zhou, Wei-Xing & Sornette, Didier, 2004.
"Causal slaving of the US treasury bond yield antibubble by the stock market antibubble of August 2000,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 586-608.
- W. -X. Zhou & D. Sornette, 2003. "Causal Slaving of the U.S. Treasury Bond Yield Antibubble by the Stock Market Antibubble of August 2000," Papers cond-mat/0312658, arXiv.org.
- Sornette, Didier & Zhou, Wei-Xing, 2004.
"Evidence of fueling of the 2000 new economy bubble by foreign capital inflow: implications for the future of the US economy and its stock market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 332(C), pages 412-440.
- D. Sornette & W. -X. Zhou, 2003. "Evidence of Fueling of the 2000 New Economy Bubble by Foreign Capital Inflow: Implications for the Future of the US Economy and its Stock Market," Papers cond-mat/0306496, arXiv.org.
- Guilherme Demos & Didier Sornette, 2017. "Lagrange regularisation approach to compare nested data sets and determine objectively financial bubbles' inceptions," Papers 1707.07162, arXiv.org.
- Rui Menezes & Andreia Dioniso, 2011. "Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks," Papers 1101.4093, arXiv.org.
- Didier Sornette & Wei-Xing Zhou, 2003.
"The US 2000-2002 market descent: clarification,"
Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 39-41.
- D. Sornette & W. -X. Zhou, 2003. "The US 2000-2003 Market Descent: Clarifications," Papers cond-mat/0305004, arXiv.org.
- Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Shocks in financial markets, price expectation, and damped harmonic oscillators," Papers 1103.1992, arXiv.org, revised Sep 2011.
- Alvarez-Ramirez, Jose & Ibarra-Valdez, Carlos & Bernabe, Araceli & Rodriguez, Eduardo, 2005. "Power-law periodicity in the 2003–2004 crude oil price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 349(3), pages 625-640.
- Yan, Wanfeng & Woodard, Ryan & Sornette, Didier, 2012. "Diagnosis and prediction of rebounds in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1361-1380.
- Gu, Gao-Feng & Ren, Fei & Ni, Xiao-Hui & Chen, Wei & Zhou, Wei-Xing, 2010.
"Empirical regularities of opening call auction in Chinese stock market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(2), pages 278-286.
- Gao-Feng Gu & Fei Ren & Xiao-Hui Ni & Wei Chen & Wei-Xing Zhou, 2009. "Empirical regularities of opening call auction in Chinese stock market," Papers 0905.0582, arXiv.org.
- Demos, G. & Sornette, D., 2019. "Comparing nested data sets and objectively determining financial bubbles’ inceptions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 661-675.
- Sornette, Didier & Woodard, Ryan & Yan, Wanfeng & Zhou, Wei-Xing, 2013. "Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4417-4428.
- Zhou, Wei-Xing & Sornette, Didier, 2005. "Testing the stability of the 2000 US stock market “antibubble”," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 428-452.
- Zhou, Wei & Huang, Yang & Chen, Jin, 2018. "The bubble and anti-bubble risk resistance analysis on the metal futures in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 947-957.
- Rui Menezes, 2013. "Globalization and Granger Causality in International Stock Markets," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 3(1), pages 413-413.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Lin, L. & Ren, R.E. & Sornette, D., 2014. "The volatility-confined LPPL model: A consistent model of ‘explosive’ financial bubbles with mean-reverting residuals," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 210-225.
- D. Sornette & R. Woodard, "undated". "Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis," Working Papers CCSS-09-003, ETH Zurich, Chair of Systems Design.
- Sornette, Didier & Zhou, Wei-Xing, 2006.
"Predictability of large future changes in major financial indices,"
International Journal of Forecasting, Elsevier, vol. 22(1), pages 153-168.
- D. Sornette & W. -X. Zhou, 2003. "Predictability of large future changes in major financial indices," Papers cond-mat/0304601, arXiv.org, revised Aug 2004.
- Wei-Xing Zhou & Didier Sornette, 2003.
"Nonparametric Analyses Of Log-Periodic Precursors To Financial Crashes,"
International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 14(08), pages 1107-1125.
- Wei-Xing Zhou & Didier Sornette, 2002. "Non-Parametric Analyses of Log-Periodic Precursors to Financial Crashes," Papers cond-mat/0205531, arXiv.org.
- Zhang, Qunzhi & Sornette, Didier & Balcilar, Mehmet & Gupta, Rangan & Ozdemir, Zeynel Abidin & Yetkiner, Hakan, 2016.
"LPPLS bubble indicators over two centuries of the S&P 500 index,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 126-139.
- Qunzhi Zhang & Didier Sornette & Mehmet Balcilar & Rangan Gupta & Zeynel A. Ozdemir & Hakan Yetkiner, 2016. "LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index," Working Papers 201606, University of Pretoria, Department of Economics.
- Li Lin & Didier Sornette, 2009. "Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times," Papers 0911.1921, arXiv.org.
- Sornette, Didier & Woodard, Ryan & Zhou, Wei-Xing, 2009. "The 2006–2008 oil bubble: Evidence of speculation, and prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1571-1576.
- Sornette, Didier & Woodard, Ryan & Yan, Wanfeng & Zhou, Wei-Xing, 2013. "Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4417-4428.
- Sornette, D., 2002. "“Slimming” of power-law tails by increasing market returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 309(3), pages 403-418.
- A. Johansen & D. Sornette, 2002. "Endogenous versus Exogenous Crashes in Financial Markets," Papers cond-mat/0210509, arXiv.org.
- Damian Smug & Peter Ashwin & Didier Sornette, 2018. "Predicting financial market crashes using ghost singularities," PLOS ONE, Public Library of Science, vol. 13(3), pages 1-20, March.
- Didier Sornette & Ryan Woodard, 2009. "Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis," Papers 0905.0220, arXiv.org.
- Zhou, Wei-Xing & Sornette, Didier, 2004.
"Antibubble and prediction of China's stock market and real-estate,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(1), pages 243-268.
- W. -X. Zhou & D. Sornette, 2003. "Antibubble and Prediction of China's stock market and Real-Estate," Papers cond-mat/0312149, arXiv.org.
- Zhou, Wei-Xing & Sornette, Didier, 2009.
"A case study of speculative financial bubbles in the South African stock market 2003–2006,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 869-880.
- Wei-Xing Zhou & Didier Sornette, 2007. "A case study of speculative financial bubbles in the South African stock market 2003-2006," Papers physics/0701171, arXiv.org, revised Oct 2008.
- D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
- Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
- Zhou, Wei-Xing & Sornette, Didier, 2003. "Renormalization group analysis of the 2000–2002 anti-bubble in the US S&P500 index: explanation of the hierarchy of five crashes and prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 330(3), pages 584-604.
- Jerome L Kreuser & Didier Sornette, 2017. "Super-Exponential RE Bubble Model with Efficient Crashes," Swiss Finance Institute Research Paper Series 17-33, Swiss Finance Institute.
- Wosnitza, Jan Henrik & Leker, Jens, 2014. "Can log-periodic power law structures arise from random fluctuations?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 228-250.
- Li Lin & Didier Sornette, 2015. ""Speculative Influence Network" during financial bubbles: application to Chinese Stock Markets," Papers 1510.08162, arXiv.org.
More about this item
Keywords
Econophysics; Stock markets; Anti-bubble; Log-periodic power law; Synchronization; Globalization;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:330:y:2003:i:3:p:543-583. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.