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Renormalization Group Analysis of October Market Crashes

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  • S. Gluzman
  • V. I. Yukalov

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.

Suggested Citation

  • S. Gluzman & V. I. Yukalov, 1997. "Renormalization Group Analysis of October Market Crashes," Papers cond-mat/9710336, arXiv.org, revised Apr 1998.
    • Handle: RePEc:arx:papers:cond-mat/9710336
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    Cited by:

    1. Anders Johansen & Didier Sornette & Olivier Ledoit, 1999. "Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes," Finance 9903006, University Library of Munich, Germany.
    2. Dominique, C-Rene, 2018. "Assessing the Entropies of the Feigenbaum Strange Attractor and the S&P-500 Index as Factors Driving the Production of Information in Market Economies," MPRA Paper 89873, University Library of Munich, Germany, revised 05 Nov 2018.
    3. 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.
    4. Simon Gluzman, 2023. "Market Crashes and Time-Translation Invariance," FinTech, MDPI, vol. 2(2), pages 1-27, March.
    5. Giovanni Arcioni, 2008. "Using self-similarity and renormalization group to analyze time series," Papers 0805.3213, arXiv.org.

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