SCOPUS 정보 검색 플랫폼

Physica A: Statistical Mechanics and its Applications

Volumn 309, Issue 3-4, 2002, Pages 403-418

"Slimming" of power-law tails by increasing market returns

(1) Sornette, D a,b

a UNIVERSITY OF CALIFORNIA (United States)

b INSTITUT NON LINÉAIRE DE NICE (France)

Author keywords

Bubbles; Crash; Multiplicative noise; Power laws; Rational expectation

Indexed keywords

ASYMPTOTIC STABILITY; COSTS; FINANCE; MATHEMATICAL MODELS;

MULTIPLICATIVE NOISE; POWER LAWS;

INDUSTRIAL ECONOMICS;

EID: 0037097420 PISSN: 03784371 EISSN: None Source Type: Journal
DOI: 10.1016/S0378-4371(02)00614-3 Document Type: Article

Times cited : (7)

References (33)

1
- 38949166334
- Speculative bubbles, crashes and rational expectations
- (1979) Econom. Lett. , vol.3 , pp. 387-389
- Blanchard, O.J.¹

2
- 0001866008
- Bubbles, rational expectations and speculative markets
- P. Wachtel (Ed.), Lexington Books, Lexington
- (1982) Crisis in Economic and Financial Structure: Bubbles, Bursts, and Shocks
- Blanchard, O.J.¹ Watson, M.W.²

3
- 84993912261
- Bubbles and fads in asset prices
- (1989) J. Econom. Surveys , vol.3 , pp. 3-41
- Camerer, C.¹

4
- 0001165446
- Speculative bubbles and financial markets
- (1992) Oxford Economic Papers , vol.44 , pp. 626-640
- Adam, M.C.¹ Szafarz, A.²

5
- 0003284808
- On rational bubbles and fat tails
- submitted to the, preprint
- (1999) J Money, Credit and Banking
- Lux, T.¹ Sornette, D.²

6
- 0031099956
- Convergent multiplicative processes repelled from zero: Power laws and truncated power laws
- (1997) J. Phys. I France , vol.7 , pp. 431-444
- Sornette, D.¹ Cont, R.²

7
- 2942672026
- Random difference equations and renewal theory for products of random matrices
- (1973) Acta Math. , vol.131 , pp. 207-248
- Kesten, H.¹

8
- 0000732230
- Implicit renewal theory and tails of solutions of random equations
- (1991) Ann. Appl. Probab. , vol.1 , pp. 126-166
- Goldie, C.M.¹

9
- 0002262366
- Stylized facts of nominal exchange rate returns
- F. van der Ploeg (Ed.), Blackwell, Oxford
- (1994) The Handbook of International Macroeconomics , pp. 348-389
- De Vries, C.G.¹

10
- 0001198488
- The stable Paretian hypothesis and the frequency of large returns: An examination of major German stocks
- (1996) Appl. Financial Econom. , vol.6 , pp. 463-475
- Lux, L.¹

11
- 0030139575
- The econometrics of financial markets
- (1996) J. Emp. Finance , vol.3 , pp. 15-102
- Pagan, A.¹

12
- 0002487791
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- (1997) Finance and Stochastics , vol.1 , pp. 95-129
- Guillaume, D.M.¹ Dacorogna, M.M.² Davé, R.R.³ Müller, J.A.⁴ Olsen, R.B.⁵ Pictet, O.V.⁶

13
- 0031635063
- Inverse cubic law for the distribution of stock price variations
- (1998) Eur. Phys. J. B , vol.3 , pp. 139-140
- Gopikrishnan, P.¹ Meyer, M.² Amaral, L.A.N.³ Stanley, H.E.⁴

14
- 85008815044
- Multi-dimensional rational bubbles and fat tails
- (2001) Quantitative Finance , vol.1 , pp. 533-541
- Malevergne, Y.¹ Sornette, D.²

15
- 0001556047
- (1982) Econometrica , vol.50 , pp. 409-425
- Gourieroux, C.¹ Laffont, J.J.² Monfort, A.³

16
- 0003527126
- Springer, Heidelberg
- (2000) Critical Phenomena in Natural Sciences, Chaos, Fractals, Self-organization and Disorder: Concepts and Tools, Springer Series in Synergetics
- Sornette, D.¹

17
- 0000799925
- On some limit theorems similar to the arc-sin law
- (1965) Theory Probab. Appl. , vol.10 , pp. 323-329
- Breiman, L.¹

18
- 0034272967
- Stock market speculation: Spontaneous symmetry breaking of economic valuation
- (2000) Physica A , vol.284 , pp. 355-375
- Sornette, D.¹

19
- 0033545290
- Scaling and criticality in a stochastic multi-agent model of a financial market
- (1999) Nature , vol.397 , pp. 498-500
- Lux, T.¹ Marchesi, M.²

20
- 0004218901
- Teubner, Stuttgart-Leipzig
- (1999) Evolution, Money, War and Computers
- Moss de Oliveira, S.¹ De Oliveira, P.M.C.² Stauffer, D.³

21
- 0033267688
- Avalanche dynamics and trading friction effects on stock market returns
- (1999) Int. J. Mod. Phys. C , vol.10 , pp. 1149-1162
- Iori, G.¹

22
- 0004052344
- Academic Press, San Diego
- (2000) The Microscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena
- Levy, M.¹ Levy, H.² Solomon, S.³

23
- 0009349350
- Market fluctuations: Multiplicative and percolation models, size effects and predictions
- A. Bunde, H.-J. Schellnhuber (Eds.), June, Giessen University
- (1999) Proceedings of the Workshop 'Facets of Universality: Climate, Biodynamics and Stock Markets'
- Sornette, D.¹ Stauffer, D.² Takayasu, H.³

24
- 0002044715
- Predicting financial crashes using discrete scale invariance
- (1999) J. Risk , vol.1 , pp. 5-32
- Johansen, A.¹ Sornette, D.² Ledoit, O.³

25
- 0000521070
- Crashes as critical points
- (2000) Internat. J. Theoret. Appl. Finance , vol.3 , pp. 219-255
- Johansen, A.¹ Ledoit, O.² Sornette, D.³

26
- 0035471939
- From rational bubbles to crashes
- (2001) Physica A , vol.299 , pp. 40-59
- Sornette, D.¹ Malevergne, Y.²

27
- 0036011491
- A nonlinear super-exponential rational model of speculative financial bubbles
- (2002) Int. J. Mod. Phys. C , vol.13 , Issue.2 , pp. 171-188
- Sornette, D.¹ Andersen, J.V.²

28
- 0004178755
- The MIT Press, Cambridge, MA
- (1995) Exploring General Equilibrium
- Black, F.¹

29
- 0009435076
- General equilibrium when economic growth exceeds discounting
- (2000) J. Econom. Theory , vol.94 , pp. 141-162
- Burke, J.L.¹

30
- 0001060585
- On the inception of rational bubbles
- (1987) Quart. J. Econom. , vol.102 , pp. 697-700
- Diba, B.T.¹ Grossman, H.I.²

31
- 46549099071
- The equity premium: A puzzle
- (1985) J. Mon. Econom. , vol.15 , pp. 145-161
- Mehra, R.¹ Prescott, E.²

32
- 45549121696
- The equity risk premium: A solution?
- (1988) J. Mon. Econom. , vol.22 , pp. 117-136
- Rietz, T.A.¹ Mehra, R.² Prescott, E.C.³

33
- 0032002116
- Linear stochastic dynamics with nonlinear fractal properties
- (1998) Physica A , vol.250 , pp. 295-314
- Sornette, D.¹

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.