[en] We analyze the evolution of several financial indices before the crash of October 1987. The amplitude of the crash varies from one index to another. However, assuming that the crash is similar to a phase transition and particularly to a specific heat jump, we find that the crash amplitude can be well estimated by assuming a simple background which differs from market to market. We show that the divergence near the crash event is logarithmic and extends between 2 weeks and 4 years before the october 1987 crash on both S&P500 and Dow Jones indices. The behavior is like that found for the d = 2 Ising model specific heat. The latter result is in contrast to previous works which have considered a power law behavior of the index near the crash. Finally, we confirm the presence of log-periodic oscillations and discuss briefly their origin.
Disciplines :
Physics
Author, co-author :
Vandewalle, Nicolas ; Université de Liège - ULiège > Département de physique > Physique statistique
Boveroux, P.
Minguet, A.
Ausloos, Marcel ; Université de Liège - ULiège > Département de physique > Physique statistique appliquée et des matériaux - S.U.P.R.A.S.
Language :
English
Title :
The crash of October 1987 seen as a phase transition: amplitude and universality
Publication date :
15 June 1998
Journal title :
Physica A. Statistical Mechanics and its Applications
H.E. Stanley, Phase Transitions and Critical Phenomena, Clarendon Press, New York, 1971.
J.M. Kosterlitz, D.J. Thouless, J. Phys. C 6 (1973) 1181.
Source: DATASTREAM.
Ch. Wood, The Bubble Economy: Japan's Extraordinary Speculative Boom of the '80s and the Dramatic Bust of the '90s, Atlantic Monthly Press, New York, 1992.
D. Sornette, A. Johansen, Physica A 245 (1997) 411; D. Stauffer, D. Sornette, Private communication.
D. Sornette, A. Johansen, Physica A 245 (1997) 411; D. Stauffer, D. Sornette, Private communication.
M.A. Mikulinskii, Z.M. Frenkel, Sov. Phys. Solid State 13 (1971) 1199.
M.E. Fisher, Phys. Rev. 176 (1968) 257.
L. Onsager, Phys. Rev. 65 (1994) 117.
M.E. Fisher, Rev. Mod. Phys. 46 (1974) 597.
J. Toner, Yuhai Tu, Phys. Rev. Lett. 75 (1995) 4326.
Source: B. David, Transaction Survey 1994, Stock Exchange Quarterly, London Stock Exchange, October-December 1994.
E.E. Peters, Fractal Market Analysis, Wiley, New York, 1994.
M. Levy, S. Solomon, Physica A 242 (1997) 90.
N. Vandewalle, M. Ausloos, Ph. Boveroux, A. Minguet, Eur. Phys. J. B (1998), in press.