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Booms and Crashes in Self-Similar Markets

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  • S. Gluzman
  • V. I. Yukalov

Abstract

Sharp changes in time series representing market dynamics are studied by means of the self--similar analysis suggested earlier by the authors. These sharp changes are market booms and crashes. Such crises phenomena in markets are analogous to critical phenomena in physics. A simple classification of the market crisis phenomena is given.

Suggested Citation

  • S. Gluzman & V. I. Yukalov, 1998. "Booms and Crashes in Self-Similar Markets," Papers cond-mat/9810092, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/9810092
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    Cited by:

    1. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
    2. M. Ausloos & K. Ivanova & N. Vandewalle, 2001. "Crashes : symptoms, diagnoses and remedies," Papers cond-mat/0104127, arXiv.org, revised Apr 2001.
    3. Giovanni Arcioni, 2008. "Using self-similarity and renormalization group to analyze time series," Papers 0805.3213, arXiv.org.
    4. Yukalov, V.I. & Sornette, D. & Yukalova, E.P., 2009. "Nonlinear dynamical model of regime switching between conventions and business cycles," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 206-230, May.

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