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The crash of October 1987 seen as a phase transition: amplitude and universality
Vandewalle, Nicolas; Boveroux, P.; Minguet, A. et al.
1998In Physica A. Statistical Mechanics and its Applications, 255 (1-2), p. 201-210
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Abstract :
[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
ISSN :
0378-4371
eISSN :
1873-2119
Publisher :
Elsevier, Netherlands
Volume :
255
Issue :
1-2
Pages :
201-210
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 07 August 2009

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