메뉴 건너뛰기




Volumn 378, Issue 1, 2003, Pages 1-98

Critical market crashes

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0037379974     PISSN: 03701573     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0370-1573(02)00634-8     Document Type: Review
Times cited : (267)

References (184)
  • 1
    • 0001165446 scopus 로고
    • Oxford Economic Papers
    • Adam, M.C., Szafarz, A., 1992. Oxford Economic Papers 44, pp. 626-640.
    • (1992) , vol.44 , pp. 626-640
    • Adam, M.C.1    Szafarz, A.2
  • 2
    • 85008787847 scopus 로고    scopus 로고
    • Have your cake and eat it too: Increasing returns while lowering large risks!
    • Andersen, J.V., Sornette, D., 2001. Have your cake and eat it too: increasing returns while lowering large risks!. J. Risk Finance 2 (3), 70-82.
    • (2001) J. Risk Finance , vol.2 , Issue.3 , pp. 70-82
    • Andersen, J.V.1    Sornette, D.2
  • 5
    • 42749098654 scopus 로고    scopus 로고
    • Statistical conservation laws in turbulent transport - Art. no. 164502
    • 8716 N16:4502
    • Arad, I., Biferale, L., Celani, A., Procaccia, I., Vergassola, M., 2001. Statistical conservation laws in turbulent transport - art. no. 164502. Phys. Rev. Lett. 8716 N16:4502,U62-U64.
    • (2001) Phys. Rev. Lett.
    • Arad, I.1    Biferale, L.2    Celani, A.3    Procaccia, I.4    Vergassola, M.5
  • 6
    • 0001248711 scopus 로고    scopus 로고
    • Regime-switching in emerging stock market returns
    • Assoe, K.G., 1998. Regime-switching in emerging stock market returns. Multinational Finance Journal 2, 101-132.
    • (1998) Multinational Finance Journal , vol.2 , pp. 101-132
    • Assoe, K.G.1
  • 7
    • 0003432181 scopus 로고    scopus 로고
    • How Nature Works: The Science of Self-organized Criticality
    • Copernicus, New York, NY, USA
    • Bak, P., 1996. How Nature Works: the Science of Self-organized Criticality. Copernicus, New York, NY, USA.
    • (1996)
    • Bak, P.1
  • 8
    • 0031097135 scopus 로고    scopus 로고
    • Detecting long-run abnormal stock returns: The empirical power and specification of test statistics
    • Barber, B.M., Lyon, J.D., 1997. Detecting long-run abnormal stock returns: the empirical power and specification of test statistics. J. Fin. Econom. 43 (N3), 341-372.
    • (1997) J. Fin. Econom. , vol.43 , Issue.3 N , pp. 341-372
    • Barber, B.M.1    Lyon, J.D.2
  • 9
    • 41349111842 scopus 로고    scopus 로고
    • Iterated conformal dynamics and Laplacian growth - Art. no. 046144
    • 6504 N4 PT2A
    • Barra, F., Davidovitch, B., Procaccia, I., 2002. Iterated conformal dynamics and Laplacian growth - art. no. 046144. Phys. Rev. E 6504 N4 PT2A:U486-U497.
    • (2002) Phys. Rev. E.
    • Barra, F.1    Davidovitch, B.2    Procaccia, I.3
  • 11
    • 0003793997 scopus 로고    scopus 로고
    • Core Principles for Effective Banking Supervision
    • Basle Committee on Banking Supervision Basle, September
    • Basle Committee on Banking Supervision, 1997. Core Principles for Effective Banking Supervision. Basle, September.
    • (1997)
  • 12
    • 0001504265 scopus 로고    scopus 로고
    • Risk management and quantile estimation
    • Adler, R.J., Feldman, R.E., Taqqu, M. (Eds.), Birkhauser, Boston
    • Bassi, F., Embrechts, P., Kafetzaki, M., 1998. Risk management and quantile estimation. In: Adler, R.J., Feldman, R.E., Taqqu, M. (Eds.), A Practical Guide to Heavy Tails. Birkhauser, Boston, pp. 111-130.
    • (1998) A Practical Guide to Heavy Tails , pp. 111-130
    • Bassi, F.1    Embrechts, P.2    Kafetzaki, M.3
  • 13
    • 27744568768 scopus 로고
    • A theory of fads, fashion, custom, and cultural change as informational cascades
    • Bikhchandani, S., Hirshleifer, D., Welch, I., 1992. A theory of fads, fashion, custom, and cultural change as informational cascades. J. Pol. Econom. 100, 992-1026.
    • (1992) J. Pol. Econom. , vol.100 , pp. 992-1026
    • Bikhchandani, S.1    Hirshleifer, D.2    Welch, I.3
  • 16
    • 0003892764 scopus 로고
    • Network Analysis: Studies in Human Interaction
    • Mouton
    • Boissevain, J., Mitchell, J., 1973. Network Analysis: Studies in Human Interaction. Mouton.
    • (1973)
    • Boissevain, J.1    Mitchell, J.2
  • 17
    • 0032309756 scopus 로고    scopus 로고
    • A Langevin approach to stock market Kuctuations and crashes
    • Bouchaud, J.-P., Cont, T., 1998. A Langevin approach to stock market Kuctuations and crashes. Eur. Phys. J. B 6, 543-550.
    • (1998) Eur. Phys. J. B , vol.6 , pp. 543-550
    • Bouchaud, J.-P.1    Cont, T.2
  • 18
    • 84892911208 scopus 로고
    • A Markov model of switching-regime
    • Cai, J., 1994. A Markov model of switching-regime ARCH. J. Business Econom. Stat. 12, 309-316.
    • (1994) ARCH J. Business Econom. Stat. , vol.12 , pp. 309-316
    • Cai, J.1
  • 19
    • 84948872401 scopus 로고
    • A theory of social imitation
    • (July) 23-28
    • Callen, E., Shapero, D., 1974. A theory of social imitation. Phys. Today (July) 23-28.
    • (1974) Phys. Today
    • Callen, E.1    Shapero, D.2
  • 20
    • 84993912261 scopus 로고
    • Bubbles and fads in asset prices
    • Camerer, C., 1989. Bubbles and fads in asset prices. J. Econom. Surveys 3, 3-41.
    • (1989) J. Econom. Surveys , vol.3 , pp. 3-41
    • Camerer, C.1
  • 21
    • 84890656542 scopus 로고    scopus 로고
    • The Econometrics of Financial Markets
    • Princeton University Press, Princeton, NJ
    • Campbell, J.Y., Lo, A.W., MacKinlay, A.C., 1997. The Econometrics of Financial Markets. Princeton University Press, Princeton, NJ.
    • (1997)
    • Campbell, J.Y.1    Lo, A.W.2    MacKinlay, A.C.3
  • 23
    • 0012396692 scopus 로고    scopus 로고
    • An econometric characterization of business cycle dynamics with factor structure and regime switching
    • Chauvet, M., 1998. An econometric characterization of business cycle dynamics with factor structure and regime switching. International Econom. Rev. 39, 969-996.
    • (1998) International Econom. Rev. , vol.39 , pp. 969-996
    • Chauvet, M.1
  • 25
    • 84993601062 scopus 로고
    • Stock volatility and the levels of the basis and open interest in futures contracts
    • Chen, N.-F., Cuny, C.J., Haugen, R.A., 1995. Stock volatility and the levels of the basis and open interest in futures contracts. J. Finance 50, 281-300.
    • (1995) J. Finance , vol.50 , pp. 281-300
    • Chen, N.-F.1    Cuny, C.J.2    Haugen, R.A.3
  • 26
    • 0000255087 scopus 로고    scopus 로고
    • A generalized spin model of financial markets
    • Chowdhury, D., Stauffer, D., 1999. A generalized spin model of financial markets. Eur. Phys. J. B 8, 477-482.
    • (1999) Eur. Phys. J. B , vol.8 , pp. 477-482
    • Chowdhury, D.1    Stauffer, D.2
  • 27
    • 0036003806 scopus 로고    scopus 로고
    • Financial crisis and the great depression: A regime switching approach
    • Coe, P.J., 2002. Financial crisis and the great depression: a regime switching approach. J. Money, Credit, Banking 34 (1), 76-93.
    • (2002) J. Money, Credit, Banking , vol.34 , Issue.1 , pp. 76-93
    • Coe, P.J.1
  • 28
    • 25944453461 scopus 로고
    • Computing and communications in the extreme research for crisis management and other applications
    • Commission on Physical Sciences, Mathematics, and Applications, Steering Committee, Workshop Series on High Performance Computing and Communications, Computer Science and Telecommunications Board National Academy Press, Washington, DC
    • Commission on Physical Sciences, Mathematics, and Applications, 1990. Computing and communications in the extreme research for crisis management and other applications. Steering Committee, Workshop Series on High Performance Computing and Communications, Computer Science and Telecommunications Board National Academy Press, Washington, DC.
    • (1990)
  • 29
    • 0034388776 scopus 로고    scopus 로고
    • Herd behavior and aggregate Kuctuations in financial markets
    • Cont, R., Bouchaud, J.-P., 2000. Herd behavior and aggregate Kuctuations in financial markets. Macroeconom. Dyn. 4, 170-196.
    • (2000) Macroeconom. Dyn. , vol.4 , pp. 170-196
    • Cont, R.1    Bouchaud, J.-P.2
  • 30
    • 0003610225 scopus 로고
    • The Random Character of Stock Market Prices
    • M.I.T. Press, Cambridge, MA
    • Cootner, P.H. (Ed.), 1967. The Random Character of Stock Market Prices. M.I.T. Press, Cambridge, MA.
    • (1967)
    • Cootner, P.H.1
  • 33
    • 0040424685 scopus 로고    scopus 로고
    • Systemic risk: A survey, financial economics and internation macroeconomics
    • Discussion paper series No. 2634
    • De Bandt, O., Hartmann, P., 2000. Systemic risk: a survey, financial economics and internation macroeconomics. Discussion paper series No. 2634.
    • (2000)
    • De Bandt, O.1    Hartmann, P.2
  • 34
    • 0001138987 scopus 로고    scopus 로고
    • Rational herding in financial markets
    • Devenow, A., Welch, I., 1996. Rational herding in financial markets. European Econom. Rev. 40, 603-616.
    • (1996) European Econom. Rev. , vol.40 , pp. 603-616
    • Devenow, A.1    Welch, I.2
  • 35
    • 3142670898 scopus 로고    scopus 로고
    • Pitfalls, and opportunities in the use of extreme value theory in risk management
    • Preprint
    • Diebold, F.X., Schuermann, T., Stroughair, J.D., 2001. Pitfalls, and opportunities in the use of extreme value theory in risk management. Preprint.
    • (2001)
    • Diebold, F.X.1    Schuermann, T.2    Stroughair, J.D.3
  • 36
    • 0001704983 scopus 로고    scopus 로고
    • Intrinsic bubbles and regime-switching
    • DriAll, J., Sola, M., 1998. Intrinsic bubbles and regime-switching. J. Monetary Econom. 42, 357-373.
    • (1998) J. Monetary Econom. , vol.42 , pp. 357-373
    • DriAll, J.1    Sola, M.2
  • 37
    • 0000607890 scopus 로고    scopus 로고
    • Imprints of log-periodic self-similarity in the stock market
    • Drozdz, S., Ruf, F., Speth, J., Wojcik, M., 1999. Imprints of log-periodic self-similarity in the stock market. European Phys. J. 10, 589-593.
    • (1999) European Phys. J. , vol.10 , pp. 589-593
    • Drozdz, S.1    Ruf, F.2    Speth, J.3    Wojcik, M.4
  • 38
    • 0004277199 scopus 로고    scopus 로고
    • Scale Invariance and Beyond
    • EDP Sciences and Springer, Berlin
    • Dubrulle, B., Graner, F., D. Sornette (Eds.), 1997. Scale Invariance and Beyond. EDP Sciences and Springer, Berlin.
    • (1997)
    • Dubrulle, B.1    Graner, F.2    Sornette, D.3
  • 39
    • 0012638888 scopus 로고
    • 'Trades' Unions and Strikes
    • London
    • Dunning, T.J., 1860. 'Trades' Unions and Strikes, London.
    • (1860)
    • Dunning, T.J.1
  • 40
    • 0012641212 scopus 로고    scopus 로고
    • Un krach avant Novembre
    • 18 September
    • Dupuis, H., 1997. Un krach avant Novembre, Tendances, 18 September, p. 26.
    • (1997) Tendances , pp. 26
    • Dupuis, H.1
  • 41
    • 0003998752 scopus 로고    scopus 로고
    • Modelling Extremal Events
    • Springer-Verlag, Berlin
    • Embrechts, P., Kluppelberg, C.P., Mikosh, T., 1997. Modelling Extremal Events. Springer-Verlag, Berlin, 645pp.
    • (1997) , pp. 645
    • Embrechts, P.1    Kluppelberg, C.P.2    Mikosh, T.3
  • 42
    • 0035470905 scopus 로고    scopus 로고
    • Particles and fields in fluid turbulence
    • Falkovich, G., Gawedzki, K., Vergassola, M., 2001. Particles and fields in fluid turbulence. Rev. Mod. Phys. 73 (N4), 913-975.
    • (2001) Rev. Mod. Phys. , vol.73 , Issue.4 N , pp. 913-975
    • Falkovich, G.1    Gawedzki, K.2    Vergassola, M.3
  • 43
    • 0000029776 scopus 로고
    • Efficient capital markets. 2
    • Fama, E.F., 1991. Efficient capital markets. 2. J. Finance 46, 1575-1617.
    • (1991) J. Finance , vol.46 , pp. 1575-1617
    • Fama, E.F.1
  • 44
    • 0003720771 scopus 로고    scopus 로고
    • Market force, ecology and evolution
    • Preprint at adap-org/9812005
    • Farmer, J.D., 1998. Market force, ecology and evolution. Preprint at adap-org/9812005.
    • (1998)
    • Farmer, J.D.1
  • 45
    • 85008753838 scopus 로고    scopus 로고
    • A statistical analysis of log-periodic precursors to financial crashes
    • Feigenbaum, J.A., 2001. A statistical analysis of log-periodic precursors to financial crashes. Quant. Finance 1, 346-360.
    • (2001) Quant. Finance , vol.1 , pp. 346-360
    • Feigenbaum, J.A.1
  • 46
    • 0001609232 scopus 로고    scopus 로고
    • Discrete scale invariance in stock markets before crashes
    • Feigenbaum, J.A., Freund, P.G.O., 1996. Discrete scale invariance in stock markets before crashes. Int. J. Mod. Phys. B 10, 3737-3745.
    • (1996) Int. J. Mod. Phys. B , vol.10 , pp. 3737-3745
    • Feigenbaum, J.A.1    Freund, P.G.O.2
  • 47
    • 0346131957 scopus 로고    scopus 로고
    • Discrete scale invariance and the "second black Monday"
    • Feigenbaum, J.A., Freund, P.G.O., 1998. Discrete scale invariance and the "second black Monday". Modern Phys. Lett. B 12, 57-60.
    • (1998) Modern Phys. Lett. B , vol.12 , pp. 57-60
    • Feigenbaum, J.A.1    Freund, P.G.O.2
  • 49
    • 0012724671 scopus 로고
    • Dollar appreciation and U.S. import prices
    • (November-December)
    • Fieleke, N.S., 1985. Dollar appreciation and U.S. import prices. New England Econom. Rev. (November-December) 49-54.
    • (1985) New England Econom. Rev. , pp. 49-54
    • Fieleke, N.S.1
  • 50
    • 0002182880 scopus 로고
    • Chartists, fundamentalists and the demand for dollars
    • Frankel, J.A., Froot, K.A., 1988. Chartists, fundamentalists and the demand for dollars. Greek Econom. Rev. 10, 49-102.
    • (1988) Greek Econom. Rev. , vol.10 , pp. 49-102
    • Frankel, J.A.1    Froot, K.A.2
  • 51
    • 0002157562 scopus 로고
    • Chartists, fundamentalists, and trading in the foreign exchange market
    • Frankel, J.A., Froot, K.A., 1990. Chartists, fundamentalists, and trading in the foreign exchange market. Ameri. Econom. Rev. 80, 181-185.
    • (1990) Ameri. Econom. Rev. , vol.80 , pp. 181-185
    • Frankel, J.A.1    Froot, K.A.2
  • 52
    • 0004320711 scopus 로고    scopus 로고
    • The Great Crash, 1929
    • Houghton Mifflin, Boston
    • Galbraith, J.K., 1997. The Great Crash, 1929. Houghton Mifflin, Boston.
    • (1997)
    • Galbraith, J.K.1
  • 53
    • 0001753311 scopus 로고    scopus 로고
    • Endogenous Kuctuations in a simple asset pricing model with heterogeneous agents
    • Gaunersdorfer, A., 2000. Endogenous Kuctuations in a simple asset pricing model with heterogeneous agents. J. Econom. Dyn. Control 24, 799-831.
    • (2000) J. Econom. Dyn. Control , vol.24 , pp. 799-831
    • Gaunersdorfer, A.1
  • 54
    • 0030933585 scopus 로고    scopus 로고
    • Geoscience - Earthquakes cannot be predicted
    • (N5306)
    • Geller, R.J., Jackson, D.D., Kagan, Y.Y., Mulargia, F., 1997a. Geoscience - earthquakes cannot be predicted. Science 275 (N5306), 1616-1617.
    • (1997) Science , vol.275 , pp. 1616-1617
    • Geller, R.J.1    Jackson, D.D.2    Kagan, Y.Y.3    Mulargia, F.4
  • 55
    • 0001454410 scopus 로고    scopus 로고
    • Cannot earthquakes be predicted? - Responses
    • (N5337)
    • Geller, R.J., Jackson, D.D., Kagan, Y.Y., Mulargia, F., 1997b. Cannot earthquakes be predicted? - responses. Science 278 (N5337), 488-490.
    • (1997) Science , vol.278 , pp. 488-490
    • Geller, R.J.1    Jackson, D.D.2    Kagan, Y.Y.3    Mulargia, F.4
  • 56
    • 0000207370 scopus 로고    scopus 로고
    • Booms and crashes in self-similar markets
    • Gluzman, S., Yukalov, V.I., 1998. Booms and crashes in self-similar markets. Modern Phys. Lett. B 12, 575-587.
    • (1998) Modern Phys. Lett. B , vol.12 , pp. 575-587
    • Gluzman, S.1    Yukalov, V.I.2
  • 57
    • 0012736658 scopus 로고
    • Lectures on Phase Transitions and the Renormalization Group. Addison-Wesley Publishing Company, Reading, MA
    • Goldenfeld, N., 1992. Lectures on Phase Transitions and the Renormalization Group. Addison-Wesley Publishing Company, Reading, MA.
    • (1992)
    • Goldenfeld, N.1
  • 58
    • 0012686173 scopus 로고
    • Forest fires and forest health. Congressional Research Service Report. The Committee for the National Institute for the Environment, 1725 K Street, NW, Suite 212, Washington, DC 20006
    • Gorte, R.W., 1995. Forest fires and forest health. Congressional Research Service Report. The Committee for the National Institute for the Environment, 1725 K Street, NW, Suite 212, Washington, DC 20006.
    • (1995)
    • Gorte, R.W.1
  • 59
    • 0027790582 scopus 로고
    • Punctuated equilibrium comes of age
    • Gould, S.J., Eldredge, N., 1993. Punctuated equilibrium comes of age. Nature 366, 223-227.
    • (1993) Nature , vol.366 , pp. 223-227
    • Gould, S.J.1    Eldredge, N.2
  • 60
    • 0040531752 scopus 로고    scopus 로고
    • Herding among investment newsletters: Theory and evidence
    • Graham, J.R., 1999. Herding among investment newsletters: theory and evidence. J. Finance 54, 237-268.
    • (1999) J. Finance , vol.54 , pp. 237-268
    • Graham, J.R.1
  • 61
    • 0012724672 scopus 로고
    • Stock return volatility during the crash of 1987
    • Grant, J.L., 1990. Stock return volatility during the crash of 1987. J. Portfolio Manage. 16, 69-71.
    • (1990) J. Portfolio Manage , vol.16 , pp. 69-71
    • Grant, J.L.1
  • 62
    • 0001844761 scopus 로고    scopus 로고
    • Delay, feedback and quenching in financial markets
    • Grassia, P.S., 2000. Delay, feedback and quenching in financial markets. Eur. Phys. J. B 17, 347-362.
    • (2000) Eur. Phys. J. B , vol.17 , pp. 347-362
    • Grassia, P.S.1
  • 63
    • 0012684602 scopus 로고    scopus 로고
    • Regime-switching in Australian short-term interest rates
    • Gray, S.F., 1996. Regime-switching in Australian short-term interest rates. Account. Finance 36, 65-88.
    • (1996) Account. Finance , vol.36 , pp. 65-88
    • Gray, S.F.1
  • 64
    • 0000741932 scopus 로고
    • Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior
    • Grinblatt, M., Titman, S., Wermers, R., 1995. Momentum investment strategies, portfolio performance, and herding: a study of mutual fund behavior. Amer. Econom. Rev. 85, 1088-1105.
    • (1995) Amer. Econom. Rev. , vol.85 , pp. 1088-1105
    • Grinblatt, M.1    Titman, S.2    Wermers, R.3
  • 65
    • 0001342006 scopus 로고
    • A new approach to the economic analysis of nonstationary time series and the business cycle
    • Hamilton, J.B., 1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 357-384.
    • (1989) Econometrica , vol.57 , pp. 357-384
    • Hamilton, J.B.1
  • 66
    • 0012802785 scopus 로고    scopus 로고
    • Circuit breakers and program trading limits: What have we jearned?
    • October 1997 Conference, published in of the annual Brookings-Wharton Papers on Financial Services. The Brookings Institution Press, Washington, DC
    • Harris, L., 1997. Circuit breakers and program trading limits: what have we jearned? In: The 1987 Crash, Ten Years Later: Evaluating the Health of the Financial Markets. October 1997 Conference, published in Vol. II of the annual Brookings-Wharton Papers on Financial Services. The Brookings Institution Press, Washington, DC.
    • (1997) The 1987 Crash, Ten Years Later: Evaluating the Health of the Financial Markets , vol.2
    • Harris, L.1
  • 67
    • 0034727079 scopus 로고    scopus 로고
    • Simulating dynamical features of escape panic
    • Helbing, D., Farkas, I., Vicsek, T., 2000. Simulating dynamical features of escape panic. Nature 407, 487-490.
    • (2000) Nature , vol.407 , pp. 487-490
    • Helbing, D.1    Farkas, I.2    Vicsek, T.3
  • 68
    • 0002143544 scopus 로고
    • Complex adaptive systems
    • Holland, J.H., 1992. Complex adaptive systems. Daedalus 121, 17-30.
    • (1992) Daedalus , vol.121 , pp. 17-30
    • Holland, J.H.1
  • 69
    • 0037478396 scopus 로고
    • Journey to the Ants: A Story of Scientific Exploration
    • Belknap Press of Harvard University Press, Cambridge, MA
    • Holldobler, B., Wilson, E.O., 1994. Journey to the Ants: a Story of Scientific Exploration. Belknap Press of Harvard University Press, Cambridge, MA.
    • (1994)
    • Holldobler, B.1    Wilson, E.O.2
  • 70
    • 0012704470 scopus 로고
    • How fast will the dollar drop?
    • Holmes, P.A., 1985. How fast will the dollar drop? Nation's Business 73, 16.
    • (1985) Nation's Business , vol.73 , pp. 16
    • Holmes, P.A.1
  • 71
    • 0002465202 scopus 로고
    • Nonlinear dynamics in financial markets: Evidence and implications
    • (July-August)
    • Hsieh, D.A., 1995. Nonlinear dynamics in financial markets: evidence and implications. Financial Analysts J. (July-August) 55-62.
    • (1995) Financial Analysts J. , pp. 55-62
    • Hsieh, D.A.1
  • 72
    • 0040291376 scopus 로고    scopus 로고
    • Contagious speculation and a cure for cancer: A nonevent that made stock prices soar
    • Huberman, G., Regev, T., 2001. Contagious speculation and a cure for cancer: a nonevent that made stock prices soar. J. Finance 56, 387-396.
    • (2001) J. Finance , vol.56 , pp. 387-396
    • Huberman, G.1    Regev, T.2
  • 73
    • 0037091076 scopus 로고    scopus 로고
    • Oscillatory finite-time singularities in finance, population and rupture
    • Ide, K., Sornette, D., 2002. Oscillatory finite-time singularities in finance, population and rupture. Physica A 307 (1-2), 63-106.
    • (2002) Physica A. , vol.307 , Issue.1-2 , pp. 63-106
    • Ide, K.1    Sornette, D.2
  • 75
    • 0031634428 scopus 로고    scopus 로고
    • Stock market crashes are outliers
    • Johansen, A., Sornette, D., 1998. Stock market crashes are outliers. European Phys. J. B 1, 141-143.
    • (1998) European Phys. J. B , vol.1 , pp. 141-143
    • Johansen, A.1    Sornette, D.2
  • 76
    • 0002677877 scopus 로고    scopus 로고
    • Critical crashes
    • Johansen, A., Sornette, D., 1999a. Critical crashes. Risk 12 (1), 91-94.
    • (1999) Risk , vol.12 , Issue.1 , pp. 91-94
    • Johansen, A.1    Sornette, D.2
  • 77
    • 0000141543 scopus 로고    scopus 로고
    • Modeling the stock market prior to large crashes
    • Johansen, A., Sornette, D., 1999b. Modeling the stock market prior to large crashes. Europen. Phys. J. B 9 (1), 167-174.
    • (1999) Europen. Phys. J. B , vol.9 , Issue.1 , pp. 167-174
    • Johansen, A.1    Sornette, D.2
  • 78
    • 0033422769 scopus 로고    scopus 로고
    • Financial "anti-bubbles": Log-periodicity in Gold and Nikkei collapses
    • Johansen, A., Sornette, D., 1999c. Financial "anti-bubbles": log-periodicity in Gold and Nikkei collapses. Int. J. Mod. Phys. C 10, 563-575.
    • (1999) Int. J. Mod. Phys. C , vol.10 , pp. 563-575
    • Johansen, A.1    Sornette, D.2
  • 79
    • 0000071062 scopus 로고    scopus 로고
    • The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash
    • Johansen, A., Sornette, D., 2000a. The Nasdaq crash of April 2000: yet another example of log-periodicity in a speculative bubble ending in a crash. European Phys. J. B 17, 319-328.
    • (2000) European Phys. J. B , vol.17 , pp. 319-328
    • Johansen, A.1    Sornette, D.2
  • 80
    • 0034379830 scopus 로고    scopus 로고
    • Evaluation of the quantitative prediction of a trend reversal on the Japanese stock market in 1999
    • Johansen, A., Sornette, D., 2000b. Evaluation of the quantitative prediction of a trend reversal on the Japanese stock market in 1999. Int. J. Mod. Phys. C 11, 359-364.
    • (2000) Int. J. Mod. Phys. C , vol.11 , pp. 359-364
    • Johansen, A.1    Sornette, D.2
  • 81
    • 0035873141 scopus 로고    scopus 로고
    • Finite-time singularity in the dynamics of the world population and economic indices
    • Johansen, A., Sornette, D., 2001a. Finite-time singularity in the dynamics of the world population and economic indices. Physica A 294, 465-502.
    • (2001) Physica A , vol.294 , pp. 465-502
    • Johansen, A.1    Sornette, D.2
  • 82
    • 0000361813 scopus 로고    scopus 로고
    • Bubbles and anti-bubbles in Latin-American, Asian and Western stock markets: An empirical study
    • Johansen, A., Sornette, D., 2001b. Bubbles and anti-bubbles in Latin-American, Asian and Western stock markets: an empirical study. Int. J. Theoret. Appl. Finance 4 (6), 853-920.
    • (2001) Int. J. Theoret. Appl. Finance , vol.4 , Issue.6 , pp. 853-920
    • Johansen, A.1    Sornette, D.2
  • 83
    • 0009793025 scopus 로고    scopus 로고
    • Large stock market price drawdowns are outliers
    • e-print
    • Johansen, A., Sornette, D., 2002. Large stock market price drawdowns are outliers. J. Risk 4 (2), 69-110; e-print http://arXiv.org/abs/cond-mat/0210509.
    • (2002) J. Risk , vol.4 , Issue.2 , pp. 69-110
    • Johansen, A.1    Sornette, D.2
  • 84
    • 0002044715 scopus 로고    scopus 로고
    • Predicting financial crashes using discrete scale invariance
    • Johansen, A., Sornette, D., Ledoit, O., 1999. Predicting financial crashes using discrete scale invariance. J. Risk 1, 5-32.
    • (1999) J. Risk , vol.1 , pp. 5-32
    • Johansen, A.1    Sornette, D.2    Ledoit, O.3
  • 85
    • 0012744299 scopus 로고    scopus 로고
    • Wolfram on cellular automata; A clear and very personal exposition
    • (Book review) (July)
    • Kadanoff, L.P., 2002. Wolfram on cellular automata; A clear and very personal exposition (Book review). Physics Today (July), 55-56.
    • (2002) Physics Today , pp. 55-56
    • Kadanoff, L.P.1
  • 86
    • 0001044655 scopus 로고
    • Credibility crises: The dollar in the early 1980s
    • Kaminsky, G., Peruga, R., 1991. Credibility crises: the dollar in the early 1980s. J. Int. Money Finance 10, 170-192.
    • (1991) J. Int. Money Finance , vol.10 , pp. 170-192
    • Kaminsky, G.1    Peruga, R.2
  • 87
    • 0012704472 scopus 로고
    • The Heavens are Falling: The Scientific Prediction of Catastrophes in Our Time
    • Plenum Press, New York
    • Karplus, W.J., 1992. The Heavens are Falling: The Scientific Prediction of Catastrophes in Our Time. Plenum Press, New York.
    • (1992)
    • Karplus, W.J.1
  • 88
    • 0004064059 scopus 로고
    • The General Theory of Employment, Interest and Money
    • Harcourt, Brace, New York (Chapter 12)
    • Keynes, J.M., 1936. The General Theory of Employment, Interest and Money. Harcourt, Brace, New York (Chapter 12).
    • (1936)
    • Keynes, J.M.1
  • 90
    • 0002762378 scopus 로고
    • Epidemics of opinion and speculative bubbles in financial markets
    • Taylor, M. (Ed.), Macmillan, UK
    • Kirman, A., 1991. Epidemics of opinion and speculative bubbles in financial markets. In: Taylor, M. (Ed.), Money and Financial Markets. Macmillan, UK.
    • (1991) Money and Financial Markets
    • Kirman, A.1
  • 91
    • 0000480291 scopus 로고
    • Did the strong dollar increase competition in U.S. product markets?
    • Knetter, M.M., 1994. Did the strong dollar increase competition in U.S. product markets? Rev. Econom. Stat. 76, 192-195.
    • (1994) Rev. Econom. Stat. , vol.76 , pp. 192-195
    • Knetter, M.M.1
  • 92
    • 0008489840 scopus 로고
    • Addison-Wesley Publ., Reading, MA
    • Knuth, D.E., 1969. The Art of Computer Programming, Vol. 2. Addison-Wesley Publ., Reading, MA, pp. 1-160.
    • (1969) The Art of Computer Programming , vol.2 , pp. 1-160
    • Knuth, D.E.1
  • 93
    • 0012694101 scopus 로고    scopus 로고
    • What happened to the bull market?
    • (August 2001)
    • Koller, T., Zane, D.W., 2001. What happened to the bull market? The McKinsey Quarterly Newsletter 4 (August 2001), http://www.mckinseyquarterly.com
    • (2001) The McKinsey Quarterly Newsletter , vol.4
    • Koller, T.1    Zane, D.W.2
  • 94
    • 0037037872 scopus 로고    scopus 로고
    • Olatility clustering and scaling for financial time series due to attractor bubbling
    • Krawiecki, A., Holyst, J.A., Helbing, D., 2002. Olatility clustering and scaling for financial time series due to attractor bubbling. Phys. Rev. Lett. 89 (15), 158701.
    • (2002) Phys. Rev. Lett. , vol.89 , Issue.15 , pp. 158701
    • Krawiecki, A.1    Holyst, J.A.2    Helbing, D.3
  • 95
    • 0012637024 scopus 로고    scopus 로고
    • I know what the Hedgies did last summer
    • December issue
    • Krugman, P., 1998. I know what the Hedgies did last summer. Fortune, December issue.
    • (1998) Fortune
    • Krugman, P.1
  • 96
    • 0031650516 scopus 로고    scopus 로고
    • Stretched exponential distributions in Nature and Economy: "Fat tails" with characteristic scales
    • Laherrère, J., Sornette, D., 1998. Stretched exponential distributions in Nature and Economy: "Fat tails" with characteristic scales. European Phys. J. B 2, 525-539.
    • (1998) European Phys. J. B , vol.2 , pp. 525-539
    • Laherrère, J.1    Sornette, D.2
  • 97
    • 0000337210 scopus 로고
    • Earnings and expected returns
    • Lamont, O., 1988. Earnings and expected returns. The J. Finance LIII, 1563-1587.
    • (1988) The J. Finance , vol.53 , pp. 1563-1587
    • Lamont, O.1
  • 98
    • 0001220269 scopus 로고
    • Microscopic simulation of the stock market - The effect of microscopic diversity
    • Levy, M., Levy, H., Solomon, S., 1995. Microscopic simulation of the stock market - the effect of microscopic diversity. J. Physique I 5, 1087-1107.
    • (1995) J. Physique I. , vol.5 , pp. 1087-1107
    • Levy, M.1    Levy, H.2    Solomon, S.3
  • 99
    • 0004052344 scopus 로고    scopus 로고
    • The Microscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena
    • Academic Press, San Diego
    • Levy, M., Levy, H., Solomon, S., 2000. The Microscopic Simulation of Financial Markets: from Investor Behavior to Market Phenomena. Academic Press, San Diego.
    • (2000)
    • Levy, M.1    Levy, H.2    Solomon, S.3
  • 100
    • 0004139016 scopus 로고
    • Interacting Particle Systems
    • Springer, New York
    • Liggett, T.M., 1985. Interacting Particle Systems. Springer, New York.
    • (1985)
    • Liggett, T.M.1
  • 101
    • 0031493470 scopus 로고    scopus 로고
    • Stochastic models of interacting systems
    • Liggett, T.M., 1997. Stochastic models of interacting systems. The Ann. Probab. 25, 1-29.
    • (1997) The Ann. Probab. , vol.25 , pp. 1-29
    • Liggett, T.M.1
  • 103
    • 0031617088 scopus 로고    scopus 로고
    • The socio-economic dynamics of speculative markets: Interacting agents, chaos, and the fat tails of return distributions
    • Lux, T., 1998. The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions. J. Econom. Behavior Organ. 33, 143-165.
    • (1998) J. Econom. Behavior Organ. , vol.33 , pp. 143-165
    • Lux, T.1
  • 104
    • 0033545290 scopus 로고    scopus 로고
    • Scaling and criticality in a stochastic multi-agent model of a financial market
    • Lux, T., Marchesi, M., 1999. Scaling and criticality in a stochastic multi-agent model of a financial market. Nature 397, 498-500.
    • (1999) Nature , vol.397 , pp. 498-500
    • Lux, T.1    Marchesi, M.2
  • 105
    • 0001334431 scopus 로고    scopus 로고
    • Volatility clustering in financial markets: A micro-simulation of interacting agents
    • Lux, T., Marchesi, M., 2000. Volatility clustering in financial markets: a micro-simulation of interacting agents. Int. J. Theoret. Appl. Finance 3, 675-702.
    • (2000) Int. J. Theoret. Appl. Finance , vol.3 , pp. 675-702
    • Lux, T.1    Marchesi, M.2
  • 106
    • 85035285072 scopus 로고    scopus 로고
    • Outliers, extreme events and multiscaling
    • 6305 6118
    • L'vov, V.S., Pomyalov, A., Procaccia, I., 2001. Outliers, extreme events and multiscaling. Phys. Rev. E, 6305, PT2:6118, U158-U166.
    • (2001) Phys. Rev. E, , Issue.PART 2
    • L'vov, V.S.1    Pomyalov, A.2    Procaccia, I.3
  • 107
    • 84981632180 scopus 로고
    • On risk, rationality and excessive speculation in the Deutschmark-US dollar exchange market: Some evidence using survey data
    • MacDonald, R., Torrance, T.S., 1988. On risk, rationality and excessive speculation in the Deutschmark-US dollar exchange market: some evidence using survey data. Oxford Bull. Econom. Stat. 50, 107-123.
    • (1988) Oxford Bull. Econom. Stat. , vol.50 , pp. 107-123
    • MacDonald, R.1    Torrance, T.S.2
  • 108
    • 0032544342 scopus 로고    scopus 로고
    • Forest fires: An example of self-organized critical behavior
    • Malamud, B.D., Morein, G., Turcotte, D.L., 1998. Forest fires: an example of self-organized critical behavior. Science 281, 1840-1842.
    • (1998) Science , vol.281 , pp. 1840-1842
    • Malamud, B.D.1    Morein, G.2    Turcotte, D.L.3
  • 109
    • 0003589471 scopus 로고    scopus 로고
    • A Random Walk Down Wall Street
    • WW Norton & Company, New York
    • Malkiel, B.G., 1999. A Random Walk Down Wall Street. WW Norton & Company, New York.
    • (1999)
    • Malkiel, B.G.1
  • 110
    • 4244033962 scopus 로고    scopus 로고
    • Rational exuberance?
    • Equity Research Report of Credit Suisse First Boston, January 26
    • Mauboussin, M.J., Hiler, R., 1999. Rational exuberance? Equity Research Report of Credit Suisse First Boston, January 26.
    • (1999)
    • Mauboussin, M.J.1    Hiler, R.2
  • 111
    • 0003670783 scopus 로고
    • Herding and delegated portfolio management: The impact of relative performance evaluation on asset allocation
    • Working paper, Duke University
    • Maug, E., Naik, N., 1995. Herding and delegated portfolio management: The impact of relative performance evaluation on asset allocation. Working paper, Duke University.
    • (1995)
    • Maug, E.1    Naik, N.2
  • 112
    • 0012742376 scopus 로고    scopus 로고
    • Extreme value theory for risk managers
    • Preprint ETH Zentrum Zurich
    • McNeil, A.J., 1999. Extreme value theory for risk managers. Preprint ETH Zentrum Zurich.
    • (1999)
    • McNeil, A.J.1
  • 113
    • 84916979497 scopus 로고    scopus 로고
    • The impact of privatization on capital market development and individual share ownership
    • Presentation at the 3rd FIBV Global Emerging Markets Conference and Exhibition, Istanbul, April 5-7
    • Megginson, W.L., 2000. The impact of privatization on capital market development and individual share ownership. Presentation at the 3rd FIBV Global Emerging Markets Conference and Exhibition, Istanbul, April 5-7. http://www.oecd.org/daf/corporate-affairs/privatisation/capital-markets/ megginson/sld001.htm
    • (2000)
    • Megginson, W.L.1
  • 114
    • 0000024135 scopus 로고
    • Fault self-organization as optimal random paths selected by critical spatio-temporal dynamics of earthquakes
    • Miltenberger, P., Sornette, D., Vanneste, 1993. Fault self-organization as optimal random paths selected by critical spatio-temporal dynamics of earthquakes, Phys. Rev. Lett. 71 3604-3607.
    • (1993) Phys. Rev. Lett. , vol.71 , pp. 3604-3607
    • Miltenberger, P.1    Sornette, D.2    Vanneste, A.3
  • 115
    • 0031505570 scopus 로고    scopus 로고
    • Wildland fire patch dynamics in the chaparral of southern California and northern Baja California
    • Minnich, R.A., Chou, Y.H., 1997. Wildland fire patch dynamics in the chaparral of southern California and northern Baja California. International J. Wildland Fire 7, 221-248.
    • (1997) International J. Wildland Fire , vol.7 , pp. 221-248
    • Minnich, R.A.1    Chou, Y.H.2
  • 116
    • 0003997681 scopus 로고
    • Introduction to Quantitative Aspects of Social Phenomena
    • Gordon and Breach, New York
    • Montroll, E.W., Badger, W.W., 1974. Introduction to Quantitative Aspects of Social Phenomena. Gordon and Breach, New York.
    • (1974)
    • Montroll, E.W.1    Badger, W.W.2
  • 117
    • 0001450383 scopus 로고
    • The distribution theory of runs
    • Mood, A., 1940. The distribution theory of runs. Ann. Math. Stat. 11, 367-392.
    • (1940) Ann. Math. Stat. , vol.11 , pp. 367-392
    • Mood, A.1
  • 118
    • 0032444446 scopus 로고    scopus 로고
    • Large Forest Fires
    • Backhuys Publishers, Leiden
    • Moreno, J.M. (Ed.), 1998. Large Forest Fires. Backhuys Publishers, Leiden.
    • (1998)
    • Moreno, J.M.1
  • 119
    • 0004218901 scopus 로고    scopus 로고
    • Evolution, Money, War and Computers
    • Teubner, Stuttgart-Leipzig
    • Moss de Oliveira, S., de Oliveira, P.M.C., Stauffer, D., 1999. Evolution, Money, War and Computers. Teubner, Stuttgart-Leipzig.
    • (1999)
    • Moss de Oliveira, S.1    de Oliveira, P.M.C.2    Stauffer, D.3
  • 120
    • 0033658756 scopus 로고    scopus 로고
    • Extensive margins and the demand for money at low interest rates
    • Mulligan, C.B., Sala-i-Martin, X., 2000. Extensive margins and the demand for money at low interest rates. J. Pol. Economy.
    • (2000) J. Pol. Economy
    • Mulligan, C.B.1    Sala-i-Martin, X.2
  • 121
    • 84856390578 scopus 로고    scopus 로고
    • Is the reliable prediction of individual earthquakes a realistic scientific goal?
    • Nature debates
    • Nature debates, 1999. Is the reliable prediction of individual earthquakes a realistic scientific goal? http://helix.nature.com/debates/earthquake/.
    • (1999)
  • 122
    • 36149012281 scopus 로고
    • Crystal statistics. I. A two-dimensional model with an order-disorder transition
    • Onsager, L., 1944. Crystal statistics. I. A two-dimensional model with an order-disorder transition. Phys. Rev. 65, 117-149.
    • (1944) Phys. Rev. , vol.65 , pp. 117-149
    • Onsager, L.1
  • 123
    • 4243336984 scopus 로고
    • Mimétisme et anticipations rationnelles: Une perspective keynesienne
    • Orléan, A., 1984. Mimétisme et anticipations rationnelles: une perspective keynesienne. Recherches Economiques de Louvain 52, 45-66.
    • (1984) Recherches Economiques De Louvain , vol.52 , pp. 45-66
    • Orléan, A.1
  • 124
    • 33748208492 scopus 로고
    • L'auto-référence dans la théorie keynesienne de la spéculation
    • Orléan, A., 1986. L'auto-référence dans la théorie keynesienne de la spéculation. Cahiers d'Economie Politique, 14-15.
    • (1986) Cahiers D'Economie Politique , pp. 14-15
    • Orléan, A.1
  • 125
    • 0012690114 scopus 로고
    • Comportements mimétiques et diversité des opinions sur les marchés financiers
    • Bourguinat, H., Artus, P. (Eds.), Economica, Paris (Chapter III)
    • Orléan, A., 1989a. Comportements mimétiques et diversité des opinions sur les marchés financiers. In: Bourguinat, H., Artus, P. (Eds.), Théorie économique et crises des marchés financiers. Economica, Paris, pp. 45-65 (Chapter III).
    • (1989) Théorie économique Et Crises Des Marchés Financiers , pp. 45-65
    • Orléan, A.1
  • 126
    • 0012736660 scopus 로고
    • Mimetic contagion and speculative bubbles
    • Orléan, A., 1989b. Mimetic contagion and speculative bubbles. Theory Decision 27, 63-92.
    • (1989) Theory Decision , vol.27 , pp. 63-92
    • Orléan, A.1
  • 127
    • 0010500041 scopus 로고
    • Disorder in the stock market
    • (in French)
    • Orléan, A., 1991. Disorder in the stock market (in French). La Recherche 22, 668-672.
    • (1991) La Recherche , vol.22 , pp. 668-672
    • Orléan, A.1
  • 128
    • 0000334787 scopus 로고
    • Bayesian interactions and collective dynamics of opinion - Herd behavior and mimetic contagion
    • Orléan, A., 1995. Bayesian interactions and collective dynamics of opinion - herd behavior and mimetic contagion. J. Econom. Beha. Organization 28, 257-274.
    • (1995) J. Econom. Beha. Organization , vol.28 , pp. 257-274
    • Orléan, A.1
  • 129
    • 0001190979 scopus 로고    scopus 로고
    • Search for log-periodicity oscillations in stock market simulations
    • Pandey, R.B., Stauffer, D., 2000. Search for log-periodicity oscillations in stock market simulations. Int. J. Theoret. Appl. Finance 3, 479-482.
    • (2000) Int. J. Theoret. Appl. Finance , vol.3 , pp. 479-482
    • Pandey, R.B.1    Stauffer, D.2
  • 130
    • 0033096001 scopus 로고    scopus 로고
    • Estimating credit spread risk using extreme value theory - Application of actuarial disciplines to finance
    • Phoa, W., 1999. Estimating credit spread risk using extreme value theory - application of actuarial disciplines to finance. J. Portfolio Management 25, 69-73.
    • (1999) J. Portfolio Management , vol.25 , pp. 69-73
    • Phoa, W.1
  • 131
    • 0031994286 scopus 로고    scopus 로고
    • Financial markets as adaptative ecosystems
    • Potters, M., Cont, R., Bouchaud, J.-P., 1998. Financial markets as adaptative ecosystems. Europhys. Lett. 41, 239-244.
    • (1998) Europhys. Lett. , vol.41 , pp. 239-244
    • Potters, M.1    Cont, R.2    Bouchaud, J.-P.3
  • 132
    • 0004161838 scopus 로고
    • Numerical Recipes
    • Cambridge University Press, Cambridge
    • Press, W.H., et al., 1992. Numerical Recipes. Cambridge University Press, Cambridge.
    • (1992)
    • Press, W.H.1
  • 133
    • 0031640235 scopus 로고    scopus 로고
    • The sharp peak-flat trough pattern and critical speculation
    • Roehner, B.M., Sornette, D., 1998. The sharp peak-flat trough pattern and critical speculation. European Phys. J. B 4, 387-399.
    • (1998) European Phys. J. B , vol.4 , pp. 387-399
    • Roehner, B.M.1    Sornette, D.2
  • 134
    • 0000524812 scopus 로고    scopus 로고
    • Thermometers of speculative frenzy
    • Roehner, B.M., Sornette, D., 2000. Thermometers of speculative frenzy. European Phys. J. B 16, 729-739.
    • (2000) European Phys. J. B , vol.16 , pp. 729-739
    • Roehner, B.M.1    Sornette, D.2
  • 135
    • 0003147502 scopus 로고
    • The international crash of October 1987
    • Roll, R., 1988. The international crash of October 1987. Financial Anal. J. 4 (5), 19-35.
    • (1988) Financial Anal. J. , vol.4 , Issue.5 , pp. 19-35
    • Roll, R.1
  • 136
    • 43549121881 scopus 로고
    • The great crash and the onet of the great depression
    • Romer, C.D., 1990. The great crash and the onet of the great depression. Quart. J. Econom. 105, 597-624.
    • (1990) Quart. J. Econom. , vol.105 , pp. 597-624
    • Romer, C.D.1
  • 137
    • 0000139145 scopus 로고    scopus 로고
    • Complex exponents and log-periodic corrections in frustrated systems
    • Saleur, H., Sornette, D., 1996. Complex exponents and log-periodic corrections in frustrated systems. J. Phys. I France 6, 327-355.
    • (1996) J. Phys. I France , vol.6 , pp. 327-355
    • Saleur, H.1    Sornette, D.2
  • 138
    • 0031998088 scopus 로고    scopus 로고
    • Dynamic numerical models of stock market price: From microscopic determinism to macroscopic randomness
    • Sato, A.H., Takayasu, H., 1998. Dynamic numerical models of stock market price: from microscopic determinism to macroscopic randomness. Physica A 250, 231-252.
    • (1998) Physica A. , vol.250 , pp. 231-252
    • Sato, A.H.1    Takayasu, H.2
  • 139
  • 141
    • 0003853423 scopus 로고    scopus 로고
    • Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing
    • Harvard Business School Press, Boston, MA
    • Shefrin, H., 2000. Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing. Harvard Business School Press, Boston, MA.
    • (2000)
    • Shefrin, H.1
  • 142
    • 0004185654 scopus 로고
    • Market Volatility
    • MIT Press, Cambridge, MA
    • Shiller, R.J., 1989. Market Volatility. MIT Press, Cambridge, MA.
    • (1989)
    • Shiller, R.J.1
  • 143
    • 0004179594 scopus 로고    scopus 로고
    • Irrational Exuberance
    • Princeton University Press, Princeton, NJ
    • Shiller, R.J., 2000. Irrational Exuberance. Princeton University Press, Princeton, NJ.
    • (2000)
    • Shiller, R.J.1
  • 144
    • 0004122659 scopus 로고    scopus 로고
    • Inefficient Markets: An Introduction to Behavioral Finance
    • Oxford University Press, Oxford, New York
    • Shleifer, A., 2000. Inefficient Markets: an Introduction to Behavioral Finance. Oxford University Press, Oxford, New York.
    • (2000)
    • Shleifer, A.1
  • 145
    • 0001794717 scopus 로고    scopus 로고
    • General Black-Scholes models accounting for increased market volatility from hedging strategies
    • Sircar, R., Papanicolaou, G., 1998. General Black-Scholes models accounting for increased market volatility from hedging strategies. Appl. Math. Finance 5, 45-82.
    • (1998) Appl. Math. Finance , vol.5 , pp. 45-82
    • Sircar, R.1    Papanicolaou, G.2
  • 146
    • 0000448397 scopus 로고    scopus 로고
    • Discrete scale invariance and complex dimensions
    • Sornette, D., 1998. Discrete scale invariance and complex dimensions. Phys. Rep. 297, 239-270.
    • (1998) Phys. Rep. , vol.297 , pp. 239-270
    • Sornette, D.1
  • 147
    • 77950097980 scopus 로고    scopus 로고
    • Complexity, catastrophe and physics
    • Sornette, D., 1999. Complexity, catastrophe and physics. Phys. World 12 (N12), 57.
    • (1999) Phys. World , vol.12 , Issue.12 N , pp. 57
    • Sornette, D.1
  • 148
    • 0003527126 scopus 로고    scopus 로고
    • Critical Phenomena in Natural Sciences, Chaos, Fractals, Self-organization and Disorder: Concepts and Tools
    • Springer Series in Synergetics, Heidelberg
    • Sornette, D., 2000a. Critical Phenomena in Natural Sciences, Chaos, Fractals, Self-organization and Disorder: Concepts and Tools. Springer Series in Synergetics, Heidelberg.
    • (2000)
    • Sornette, D.1
  • 149
    • 0034272967 scopus 로고    scopus 로고
    • Stock market speculation: Spontaneous symmetry breaking of economic valuation
    • Sornette, D., 2000b. Stock market speculation: spontaneous symmetry breaking of economic valuation. Physica A 284, 355-375.
    • (2000) Physica A. , vol.284 , pp. 355-375
    • Sornette, D.1
  • 150
    • 0037133145 scopus 로고    scopus 로고
    • Predictability of catastrophic events: Material rupture, earthquakes, turbulence, financial crashes and human birth
    • Sornette, D., 2002. Predictability of catastrophic events: material rupture, earthquakes, turbulence, financial crashes and human birth. Proceedings of the National Academy of Sciences USA, V99 (Supp.1), pp. 2522-2529.
    • (2002) Proceedings of the National Academy of Sciences USA , vol.99 V , Issue.SUPPL. 1 , pp. 2522-2529
    • Sornette, D.1
  • 151
    • 84884049339 scopus 로고    scopus 로고
    • Why Stock Markets Crash: Critical Events in Complex Financial Systems
    • Princeton University Press, Princeton, NJ (456 pages, 165 figures, 21 tables)
    • Sornette, D., 2003. Why Stock Markets Crash: Critical Events in Complex Financial Systems. Princeton University Press, Princeton, NJ (456 pages, 165 figures, 21 tables).
    • (2003)
    • Sornette, D.1
  • 152
    • 0036011491 scopus 로고    scopus 로고
    • A nonlinear super-exponential rational model of speculative financial bubbles
    • Sornette, D., Andersen, J.V., 2002. A nonlinear super-exponential rational model of speculative financial bubbles. Int. J. Mod. Phys. C 13 (2), 171-188.
    • (2002) Int. J. Mod. Phys. C. , vol.13 , Issue.2 , pp. 171-188
    • Sornette, D.1    Andersen, J.V.2
  • 154
    • 0037442577 scopus 로고    scopus 로고
    • Endogeneous versus exogeneous shocks in systems with memory
    • Sornette, D., Helmstetter, A., 2003. Endogeneous versus exogeneous shocks in systems with memory. Physica A 318, 577.
    • (2003) Physica A. , vol.318 , pp. 577
    • Sornette, D.1    Helmstetter, A.2
  • 155
    • 0031273052 scopus 로고    scopus 로고
    • Large financial crashes
    • Sornette, D., Johansen, A., 1997. Large financial crashes. Physica A 245, 411-422.
    • (1997) Physica A. , vol.245 , pp. 411-422
    • Sornette, D.1    Johansen, A.2
  • 156
    • 0032292198 scopus 로고    scopus 로고
    • A hierarchical model of financial crashes
    • Sornette, D., Johansen, A., 1998. A hierarchical model of financial crashes. Physica A 261, 581-598.
    • (1998) Physica A. , vol.261 , pp. 581-598
    • Sornette, D.1    Johansen, A.2
  • 157
    • 85008770620 scopus 로고    scopus 로고
    • Significance of log-periodic precursors to financial crashes
    • Sornette, D., Johansen, A., 2001. Significance of log-periodic precursors to financial crashes. Quant. Finance 1 (4), 452-471.
    • (2001) Quant. Finance , vol.1 , Issue.4 , pp. 452-471
    • Sornette, D.1    Johansen, A.2
  • 159
    • 0012641222 scopus 로고    scopus 로고
    • Volatility fingerprints of large shocks: Endogeneous versus exogeneous
    • Preprint at (Risk published February 2003)
    • Sornette, D., Malevergne, Y., Muzy, J.F., 2002. Volatility fingerprints of large shocks: endogeneous versus exogeneous. Preprint at http://arXiv.org/abs/cond-mat/0204626 (Risk published February 2003).
    • (2002)
    • Sornette, D.1    Malevergne, Y.2    Muzy, J.F.3
  • 160
    • 0028572963 scopus 로고
    • Statistical physics of fault patterns self-organized by repeated earthquakes
    • Sornette, D., Miltenberger, P., Vanneste, C., 1994. Statistical physics of fault patterns self-organized by repeated earthquakes. Pure Appl. Geophys. 142, 491-527.
    • (1994) Pure Appl. Geophys. , vol.142 , pp. 491-527
    • Sornette, D.1    Miltenberger, P.2    Vanneste, C.3
  • 161
    • 0002822266 scopus 로고    scopus 로고
    • q-field theory for portfolio optimization: Fat tails and non-linear correlations
    • q-field theory for portfolio optimization: fat tails and non-linear correlations. Phys. Rep. 335, 19-92.
    • (2000) Phys. Rep. , vol.335 , pp. 19-92
    • Sornette, D.1    Simonetti, P.2    Andersen, J.V.3
  • 162
    • 85008829511 scopus 로고    scopus 로고
    • The US 2000-2002 market descent: How much longer and deeper?
    • Sornette, D., Zhou, W.-X., 2002. The US 2000-2002 market descent: how much longer and deeper? Quantitative Finance 2 (6), 468-481.
    • (2002) Quantitative Finance , vol.2 , Issue.6 , pp. 468-481
    • Sornette, D.1    Zhou, W.-X.2
  • 163
    • 0012685109 scopus 로고    scopus 로고
    • Monte-Carlo-Simulation mikroskopischer Börsenmodelle
    • Stauffer, D., 1999. Monte-Carlo-Simulation mikroskopischer Börsenmodelle. Physikalische Blätter 55, 49.
    • (1999) Physikalische Blätter , vol.55 , pp. 49
    • Stauffer, D.1
  • 165
    • 0343932590 scopus 로고    scopus 로고
    • Self-organized percolation model for stock market fluctuations
    • Stauffer, D., Sornette, D., 1999. Self-organized percolation model for stock market fluctuations. Physica A 271, 496-506.
    • (1999) Physica A. , vol.271 , pp. 496-506
    • Stauffer, D.1    Sornette, D.2
  • 166
    • 0001489806 scopus 로고
    • Statistical properties of deterministic threshold elements - The case of the market price
    • Takayasu, H., Miura, H., Hirabayshi, T., Hamada, K., 1992. Statistical properties of deterministic threshold elements - the case of the market price. Physica A 184, 127-134.
    • (1992) Physica A. , vol.184 , pp. 127-134
    • Takayasu, H.1    Miura, H.2    Hirabayshi, T.3    Hamada, K.4
  • 167
    • 0003907864 scopus 로고
    • Advances in Behavioral Finance
    • Russell Sage Foundation, New York
    • Thaler, R.H. (Ed.), 1993. Advances in Behavioral Finance. Russell Sage Foundation, New York.
    • (1993)
    • Thaler, R.H.1
  • 168
    • 4844228063 scopus 로고
    • Analyst forecasts and herding behavior
    • Trueman, B., 1994. Analyst forecasts and herding behavior. The Rev. Financial Studies 7, 97-124.
    • (1994) The Rev. Financial Studies , vol.7 , pp. 97-124
    • Trueman, B.1
  • 169
    • 21344480023 scopus 로고
    • The predictability of stock market regime: Evidence from the Toronto stock exchange
    • Van Norden, S., Schaller, H., 1993. The predictability of stock market regime: evidence from the Toronto stock exchange. Rev. Econom. Statist. 75, 505-510.
    • (1993) Rev. Econom. Statist. , vol.75 , pp. 505-510
    • Van Norden, S.1    Schaller, H.2
  • 170
    • 21344473833 scopus 로고    scopus 로고
    • Regime switching as a test for exchange rate bubbles
    • Van Norden, S., 1996. Regime switching as a test for exchange rate bubbles. J. Appl. Econom. 11, 219-251.
    • (1996) J. Appl. Econom. , vol.11 , pp. 219-251
    • Van Norden, S.1
  • 171
    • 0346992715 scopus 로고    scopus 로고
    • The crash of October 1987 seen as a phase transition: Amplitude and universality
    • Vandewalle, N., Boveroux, P., Minguet, A., Ausloos, M., 1998a. The crash of October 1987 seen as a phase transition: amplitude and universality. Physica A 255, 201-210.
    • (1998) Physica A. , vol.255 , pp. 201-210
    • Vandewalle, N.1    Boveroux, P.2    Minguet, A.3    Ausloos, M.4
  • 172
    • 0031642656 scopus 로고    scopus 로고
    • How the financial crash of October 1997 could have been predicted
    • Vandewalle, N., Ausloos, M., Boveroux, P., Minguet, A., 1998b. How the financial crash of October 1997 could have been predicted. European Phys. J. B 4, 139-141.
    • (1998) European Phys. J. B , vol.4 , pp. 139-141
    • Vandewalle, N.1    Ausloos, M.2    Boveroux, P.3    Minguet, A.4
  • 173
    • 84977727359 scopus 로고
    • Sequential sales, learning, and cascades
    • See also for an annotated bibliography and resource reference on "information cascades"
    • Welch, I., 1992. Sequential sales, learning, and cascades. J. Finance 47, 695-732. See also http://welch.som.yale.edu/cascades for an annotated bibliography and resource reference on "information cascades".
    • (1992) J. Finance , vol.47 , pp. 695-732
    • Welch, I.1
  • 174
    • 0034367589 scopus 로고    scopus 로고
    • Herding among security analysts
    • Welch, I., 2000. Herding among security analysts. J. Financial Econom. 58 (3), 369-396.
    • (2000) J. Financial Econom. , vol.58 , Issue.3 , pp. 369-396
    • Welch, I.1
  • 175
    • 64249167006 scopus 로고    scopus 로고
    • Stock market crashes and speculative manias
    • An Elgar Reference Collection, Cheltenham, UK; Brookfield, US
    • White, E.N., 1996. Stock market crashes and speculative manias. In: The International Library of Macroeconomic and Financial History, Vol. 13. An Elgar Reference Collection, Cheltenham, UK; Brookfield, US.
    • (1996) The International Library of Macroeconomic and Financial History , vol.13
    • White, E.N.1
  • 176
    • 0012638621 scopus 로고
    • The New York stock market in the 1920s and 1930s: Did stock prices move together too much?
    • Bordo, M., Sylla, R. (Eds.), Burr Ridge Irwin
    • White, E.N., Rappoport, P., 1995. The New York stock market in the 1920s and 1930s: did stock prices move together too much? In: Bordo, M., Sylla, R. (Eds.), Anglo-American Financial Systems: Institutions and Markets in the Twentieth Century. Burr Ridge Irwin, pp. 299-316.
    • (1995) Anglo-American Financial Systems: Institutions and Markets in the Twentieth Century , pp. 299-316
    • White, E.N.1    Rappoport, P.2
  • 177
    • 0004101413 scopus 로고
    • The Insect Societies
    • Belknap Press of Harvard University Press, Cambridge, MA
    • Wilson, E.O., 1971. The Insect Societies. Belknap Press of Harvard University Press, Cambridge, MA.
    • (1971)
    • Wilson, E.O.1
  • 178
    • 0001591958 scopus 로고
    • Problems in Physics with many scales of length
    • Wilson, K.G., 1979. Problems in Physics with many scales of length. Sci. Amer. 241 (2), 158-179.
    • (1979) Sci. Amer. , vol.241 , Issue.2 , pp. 158-179
    • Wilson, K.G.1
  • 179
    • 0003801963 scopus 로고    scopus 로고
    • Wolfram Media, Inc.; ISBN: 1579550088
    • Wolfram, S., 2002. A New Kind of Science. Wolfram Media, Inc.; ISBN: 1579550088.
    • (2002) A New Kind of Science
    • Wolfram, S.1
  • 181
    • 0001839537 scopus 로고
    • Corporate conservatism and relative compensation
    • Zwiebel, J., 1995. Corporate conservatism and relative compensation. J. Pol. Economy 103, 1-25.
    • (1995) J. Pol. Economy , vol.103 , pp. 1-25
    • Zwiebel, J.1
  • 182
    • 0036344159 scopus 로고    scopus 로고
    • Statistical significance of periodicity and log-periodicity with heavy-tailed correlated noise
    • Zhou, W.-X., Sornette, D., 2002a. Statistical significance of periodicity and log-periodicity with heavy-tailed correlated noise. Int. J. Mod. Phys. C 13 (2), 137-170.
    • (2002) Int. J. Mod. Phys. C. , vol.13 , Issue.2 , pp. 137-170
    • Zhou, W.-X.1    Sornette, D.2
  • 183
    • 41349118484 scopus 로고    scopus 로고
    • Generalized q-analysis of log-periodicity: Applications to critical ruptures
    • in press
    • Zhou, W.-X., Sornette, D., 2002b. Generalized q-analysis of log-periodicity: applications to critical ruptures. Phys. Rev. E, in press, http://arXiv.org/abs/cond-mat/0201458.
    • (2002) Phys. Rev. E.
    • Zhou, W.-X.1    Sornette, D.2
  • 184
    • 0012637923 scopus 로고    scopus 로고
    • Non-parametric analyses of log-periodic precursors to financial crashes
    • preprint at
    • Zhou, W.-X., Sornette, D., 2002c. Non-parametric analyses of log-periodic precursors to financial crashes (preprint at http://arXiv.org/abs/cond-mat/0205531).
    • (2002)
    • Zhou, W.-X.1    Sornette, D.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.