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Why Stock Markets Crash : Critical Events in Complex Financial Systems.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press,
2017.
|
| Edición: | New edition. |
| Colección: | Princeton science library.
|
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover
- Title
- Copyright
- Contents
- Preface to the Princeton Science Library Edition
- Preface to the 2002 Edition
- Chapter 1 FINANCIAL CRASHES: WHAT, HOW, WHY, AND WHEN?
- What Are Crashes, and Why Do We Care?
- The Crash of October 1987
- Historical Crashes
- The Tulip Mania
- The South Sea Bubble
- The Great Crash of October 1929
- Extreme Events in Complex Systems
- Is Prediction Possible? A Working Hypothesis
- Chapter 2 FUNDAMENTALS OF FINANCIAL MARKETS
- The Basics
- Price Trajectories
- Return Trajectories
- Return Distributions and Return Correlation
- The Efficient Market Hypothesis and the Random Walk
- The Random Walk
- A Parable: How Information Is Incorporated in Prices, Thus Destroying Potential "Free Lunches"
- Prices Are Unpredictable, or Are They?
- Risk-Return Trade-Off
- Chapter 3 FINANCIAL CRASHES ARE "OUTLIERS"
- What Are "Abnormal" Returns?
- Drawdowns (Runs)
- Definition of Drawdowns
- Drawdowns and the Detection of "Outliers"
- Expected Distribution of "Normal" Drawdowns
- Drawdown Distributions of Stock Market Indices
- The Dow Jones Industrial Average
- The Nasdaq Composite Index
- Further Tests
- The Presence of Outliers Is a General Phenomenon
- Main Stock Market Indices, Currencies, and Gold
- Largest U.S. Companies
- Synthesis
- Symmetry-Breaking on Crash and Rally Days
- Implications for Safety Regulations of Stock Markets
- Chapter 4 POSITIVE FEEDBACKS
- Feedbacks and Self-Organization in Economics
- Hedging Derivatives, Insurance Portfolios, and Rational Panics
- "Herd" Behavior and "Crowd" Effect
- Behavioral Economics
- Herding
- Empirical Evidence of Financial Analysts' Herding
- Forces of Imitation
- It Is Optimal to Imitate When Lacking Information
- Mimetic Contagion and the Urn Models
- Imitation from Evolutionary Psychology
- Rumors.
- The Survival of the Fittest Idea
- Gambling Spirits
- "Anti-Imitation" and Self-Organization
- Why It May Pay to Be in the Minority
- El-Farol's Bar Problem
- Minority Games
- Imitation versus Contrarian Behavior
- Cooperative Behaviors Resulting from Imitation
- The Ising Model of Cooperative Behavior
- Complex Evolutionary Adaptive Systems of Boundedly Rational Agents
- Chapter 5 MODELING FINANCIAL BUBBLES AND MARKET CRASHES
- What Is a Model?
- Strategy for Model Construction in Finance
- Basic Principles
- The Principle of Absence of Arbitrage Opportunity
- Existence of Rational Agents
- "Rational Bubbles" and Goldstone Modes of the Price "Parity Symmetry" Breaking
- Price Parity Symmetry
- Speculation as Spontaneous Symmetry Breaking
- Basic Ingredients of the Two Models
- The Risk-Driven Model
- Summary of the Main Properties of the Model
- The Crash Hazard Rate Drives the Market Price
- Imitation and Herding Drive the Crash Hazard Rate
- The Price-Driven Model
- Imitation and Herding Drive the Market Price
- The Price Return Drives the Crash Hazard Rate
- Risk-Driven versus Price-Driven Models
- Chapter 6 HIERARCHIES, COMPLEX FRACTAL DIMENSIONS, AND LOG-PERIODICITY
- Critical Phenomena by Imitation on Hierarchical Networks
- The Underlying Hierarchical Structure of Social Networks
- Critical Behavior in Hierarchical Networks
- A Hierarchical Model of Financial Bubbles
- Origin of Log-Periodicity in Hierarchical Systems
- Discrete Scale Invariance
- Fractal Dimensions
- Organization Scale by Scale: The Renormalization Group
- Principle and Illustration of the Renormalization Group
- The Fractal Weierstrass Function: A Singular Time-Dependent Solution of the Renormalization Group
- Complex Fractal Dimensions and Log-Periodicity
- Importance and Usefulness of Discrete Scale Invariance.
- Existence of Relevant LengthScales
- Prediction
- Scenarios Leading to Discrete Scale Invariance and Log-Periodicity
- Newcomb-Benford Law of First Digits and the Arithmetic System
- The Log-Periodic Law of the Evolution of Life?
- Nonlinear Trend-Following versus Nonlinear Fundamental Analysis Dynamics
- Trend Following: Positive Nonlinear Feedback and Finite-Time Singularity
- Reversal to the Fundamental Value: Negative Nonlinear Feedback
- Some Characteristics of the Price Dynamics of the Nonlinear Dynamical Model
- Chapter 7 AUTOPSY OF MAJOR CRASHES: UNIVERSAL EXPONENTS AND LOG-PERIODICITY
- The Crash of October 1987
- Precursory Pattern
- Aftershock Patterns
- The Crash of October 1929
- The Three Hong Kong Crashes of 1987, 1994, and 1997
- The Hong Kong Crashes
- The Crash of October 1997 and Its Resonance on the U.S. Market
- Currency Crashes
- The Crash of August 1998
- Nonparametric Test of Log-Periodicity
- The Slow Crash of 1962 Ending the "Tronics" Boom
- The Nasdaq Crash of April 2000
- "Antibubbles"
- The "Bearish" Regime on the Nikkei Starting from January 1, 1990
- The Gold Deflation Price Starting in Mid-1980
- Synthesis: "Emergent" Behavior of the Stock Market
- Chapter 8 BUBBLES, CRISES, AND CRASHES IN EMERGENT MARKETS
- Speculative Bubbles in Emerging Markets
- Methodology
- Latin-American Markets
- Asian Markets
- The Russian Stock Market
- Correlations across Markets: Economic Contagion and Synchronization of Bubble Collapse
- Implications for Mitigations of Crises
- Chapter 9 PREDICTION OF BUBBLES, CRASHES, AND ANTIBUBBLES
- The Nature of Predictions
- How to Develop and Interpret Statistical Tests of Log-Periodicity
- First Guidelines for Prediction
- What Is the Predictive Power of Equation (15)?
- How Long Prior to a Crash Can One Identify the Log-Periodic Signatures?
- A Hierarchy of Prediction Schemes
- The Simple Power Law
- The "Linear" Log-Periodic Formula
- The "Nonlinear" Log-Periodic Formula
- The Shank's Transformation on a Hierarchy of Characteristic Times
- Application to the October 1929 Crash
- Application to the October 1987 Crash
- Forward Predictions
- Successful Prediction of the Nikkei 1999 Antibubble
- Successful Prediction of the Nasdaq Crash of April 2000
- The U.S. Market, December 1997 False Alarm
- The U.S. Market, October 1999 False Alarm
- Present Status of Forward Predictions
- The Finite Probability That No Crash Will Occur during a Bubble
- Estimation of the Statistical Significance of the Forward Predictions
- Statistical Confidence of the Crash"Roulette"
- Statistical Significance of a Single Successful Prediction via Bayes's Theorem
- The Error Diagram and the Decision Process
- Practical Implications on Different Trading Strategies
- Chapter 10 2050: THE END OF THE GROWTH ERA?
- Stock Markets, Economics, and Population
- The Pessimistic Viewpoint of "Natural" Scientists
- The Optimistic Viewpoint of "Social" Scientists
- Analysis of the Faster-Than-Exponential Growthof Population, GDP, and Financial Indices
- Refinements of the Analysis
- Complex Power Law Singularities
- Prediction for the Coming Decade
- The Aging "Baby Boomers"
- Related Works and Evidence
- Scenarios for the "Singularity"
- Collapse
- Transition to Sustainability
- Resuming Accelerating Growth by Overpassing Fundamental Barriers
- The Increasing Propensity to Emulate the Stock Market Approach
- References
- Index.