Speculative bubbles and crashes in stock markets: An interacting-agent model of speculative activity

Physica A: Statistical Mechanics and its Applications

Volumn 287, Issue 3-4, 2000, Pages 493-506

  Kaizoji, Taisei ^a,b  

^a INTERNATIONAL CHRISTIAN UNIVERSITY   (Japan)

^b UNIVERSITY OF KIEL   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

APPROXIMATION THEORY; FINANCIAL DATA PROCESSING; HYSTERESIS; MARKETING; MATHEMATICAL MODELS; PHASE TRANSITIONS;

SPECULATIVE BUBBLES; STOCK MARKET CRASHES;

STATISTICAL MECHANICS;

EID: 0034509075     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(00)00388-5     Document Type: Article

References (23)

1. Keynes J.M. The general theory of Employment, Interest and Money. 1934;Harcourt, New York.
2. Mackay C. Extraordinary Popular Delusions and the Madness of Crowds. 1932;The Noonday Press.
3. Kindlberger C.P. Manias, Panics, and Crashes: A History of Financial Crises. 1989;MacMillan, London.
4. Galbraith J.K. A Short History of Financial Euphoria. 1990;Whittle Direct Books, TN, USA.
5. Lux T. Econ. J. 105:1995;881-896.
6. T. Kaizoji, Simulation 12(2) (1993) 67-74, (in Japanese).
7. Sornette D., Johansen A., Bouchaud J.P. J. Phys. I. France. 6:1996;167-175.
8. Sornette D., Johansen A. Physica A. 245:1997;411.
9. Sornette D., Johansen A. Physica A. 261(Nos. 3-4):1998.
10. Johansen A., Sornette D. Eur. Phys. J. B. 1:1998;141-143.
11. Johansen A., Sornette D. Int. J. Mod. Phys. C. 10:1999;563-575.
12. Johansen A., Sornette D. Int. J. Mod. Phys. C. 11:2000;359-364.
13. Feigenbaum J.A., Freund P.G.O. Int. J. Mod. Phys. B. 10:1996;3737-3745.
14. Feigenbaum J.A., Freund P.G.O. Int. J. Mod. Phys. B. 12:1998;57-60.
15. Vandewalle N., Boveroux Ph., Minguet A., Ausloos M. Physica A. 225:1998;201-210.
16. Vandewalle N., Ausloos M., Boveroux Ph., Minguet A. Eur. Phys. J. B. 4:1998;139-141.
17. Gluzman S., Yukalov V.I. Mod. Phys. Lett. B. 12:1998;75-84.
18. Laloux L., Potters M., Cont R., Aguilar J.-P., Bouchaud J.-P. Europhys. Lett. 45(1):1999;1-5.
19. Chowhury D., Stauffer D. Eur. Phys. J. B. 8:1999;477.
20. J.A. Holyst, K. Kacperski, F. Schweitzer, Physica A (2000), submitted for publication.
21. Lux T., Marchesi M. Nature. 297:1999;498-500.
22. Fama E. J. Finance. 46:1970;1575-1618.
23. D.E. Rumelhart, G.E. Hinton, R.J. Williams, in: D.E. Rumelhart, J.L. McClelland et al. (Eds.), Parallel Distributed Processing, Vol. 1, Cambridge, MA: MIT Press, 1986, (Chapter 8).