Stock market crashes are outliers

被引：91

作者：

Johansen, A

Sornette, D

机构：

[1] Niels Bohr Inst, CATS, DK-2100 Copenhagen, Denmark

[2] Univ Calif Los Angeles, Dept Earth & Space Sci, Los Angeles, CA 90095 USA

[3] Univ Calif Los Angeles, Inst Geophys & Planetary Phys, Los Angeles, CA 90095 USA

[4] Univ Nice, CNRS UMR6622, Phys Mat Condensee Lab, F-06108 Nice 2, France

来源：

EUROPEAN PHYSICAL JOURNAL B | 1998年 / 1卷 / 02期

关键词：

01.75.+m Science and society; 02.50.-r Probability theory; stochastic processes; and statistics; 89.90.+n Other areas of general interest to physicists;

D O I：

10.1007/s100510050163

中图分类号：

O469 [凝聚态物理学];

学科分类号：

070205 ;

摘要：

We call attention against what seems to be a widely held misconception according to which large crashes are the largest events of distributions of price variations with fat tails. We demonstrate on the Dow Jones Industrial Average that with high probability the three largest crashes in this century are outliers. This result supports the suggestion that large crashes result from specific amplification processes that might lead to observable pre-cursory signatures.

引用

页码：141 / 143

页数：3

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