The us 2000-2002 market descent: How much longer and deeper?

Quantitative Finance

Volumn 2, Issue 6, 2002, Pages 468-481

  Sornette, Didier ^a,b,c   Zhou, Wei Xing ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c UNIVERSITÉ CÔTE D'AZUR   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85008829511     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2002.0000014     Document Type: Article

References (51)

1. Arthur W B 1987 Self-reinforcing mechanisms in economics. Center for Economic Policy Research 111 1-20
2. Arthur W B 1996 Increasing returns and the new world of business. Harvard Business Rev. 74 100-9
3. Agliardi E 1998 Positive Feedback Economies (New York: St Martin's Press)
4. Krugman P R 1996 The Self-Organizing Economy (Cambridge, MA: Blackwell)
5. Bak P, Tang C and Weisenfeld K 1987 Self-organized criticality: an explanation of 1/f noise. Phys. Rev. A 38 364-74
6. Bender C and Orszag S A 1978 Advanced Mathematical Methods for Scientists and Engineers (New York: McGraw-Hill) p 147
7. De Long J B, Shleifer A, Summers L H and Waldmann R J 1990 Positive feedback investment strategies and destabilizing rational speculation. J. Finance 45 379-95
8. Clapp J M and Tirtiroglu D 1994 Positive feedback trading and diffusion of asset price changes: evidence from housing transactions. J. Econ. Behav. Organ. 24 337-55
9. Irwin S H and Yoshimaru S 1999 Managed futures, positive feedback trading, and futures price volatility. J. Futures Markets 19 759-76
10. Bange M M 2000 Do the portfolios of small investors reflect positive feedback trading?. J. Financial Quant. Anal. 35 239-55
11. Tavakkol A 2000 Positive feedback trading in the options market. Q. J. Business Economics 39 69-80
12. Koutmos G 2001 Positive feedback trading in emerging capital markets. Appl. Financial Economics 11 291-7
13. Watanabe T 2002 Margin requirements, positive feedback trading, and stock return autocorrelation: the case of Japan. Appl. Financial Economics 12 395-403
14. Drozdz S, Ruf F, Speth J and Wojcik M 1999 Imprints of log-periodic self-similarity in the stock market, Eur. Phys. J. 10 589-93
15. Erzan A 1997 Finite q-differences and the discrete renormalization group. Phys. Lett. A 225 235-8
16. Erzan A and Eckmann J P 1997 q-analysis of fractal sets. Phys. Rev. Lett. 87 3245-8
17. Graham C, Litan R and Sukhtanker S 2002 Cooking the books: the cost to the economy Brookings Policy Brief 106 02/08 http://www.brookings.edu/comm/policybriefs/pb106.htm
18. Holden K, Peel D A and Thompson J L 1990 Economic Forecasting; an Introduction (Cambridge: Cambridge University Press) p 59
19. Huang Y, Johansen A, Lee M W, Saleur H and Sornette D 2000 Artifactual log-periodicity in finite size data: relevance for earthquake aftershocks. J. Geophys. Res. 105 25451-71
20. Ide K and Sornette D 2002 Oscillatory finite-time singularities in finance, population and rupture Physica A 307 63-106
21. Johansen A, Sornette D and Ledoit O 1999 Predicting financial crashes using discrete scale invariance. J. Risk 1 5-32
22. Johansen A, Ledoit O and Sornette D 2000 Crashes as critical points. Int. J. Theor. Appl. Finance 3 219-55
23. Johansen A and Sornette D 1999 Critical crashes, Risk 12 91-4
24. Johansen A and Sornette D 1999 Financial 'anti-bubbles': log-periodicity in gold and Nikkei collapses. Int. J. Mod. Phys. C 10 563-75
25. Johansen A and Sornette D 2000 Evaluation of the quantitative prediction of a trend reversal on the Japanese stock market in 1999. Int. J. Mod. Phys. C 11 359-64
26. Johansen A and Sornette D 2000 The Nasdaq crash of April 2000: yet another example of log-periodicity in a speculative bubble ending in a crash. Eur. Phys. J. B 17 319-28
27. Johansen A and Sornette D 2001 Bubbles and anti-bubbles in Latin-American, Asian and Western stock markets: an empirical study. Int. J. Theor. Appl. Finance 4 853-920
28. Johansen A and Sornette D 2001 Finite-time singularity in the dynamics of the world population and economic indices. Physica A 294 465-502
29. Johansen A, Sornette D and Hansen A E 2000 Punctuated vortex coalescence and discrete scale invariance in two-dimensional turbulence. Physica D 138 302-15
30. Johansen A, Sornette D and Ledoit O 1999 Predicting financial crashes using discrete scale invariance J. Risk 1 5-32
31. Press W, Teukolsky S, Vetterling W and Flannery B 1996 Numerical Recipes in FORTRAN: The Art of Scientific Computing (Cambridge: Cambridge University Press)
32. Rao C 1965 Linear Statistical Inference and its Applications (New York: Wiley) ch 6, sec 6e.3
33. Sammis S G and Sornette D 2002 Positive feedback, memory and the predictaxbility of earthquakes. Proc. Natl Acad. Sci. USA 99 SUPP1 2501-8
34. Sornette D 1994 Sweeping of an instability: an alternative to self-organized criticality to get powerlaws without parameter tuning. J. Physique I 4 209-21
35. Sornette D 1998 Discrete scale invariance and complex dimensions. Phys. Rep. 297 239-70
36. Sornette D 2000 Critical phenomena in natural sciences Chaos, Fractals, Self-organization and Disorder: Concepts and Tools (Springer Series in Synergetics) (Heidelberg: Springer)
37. Sornette D 2002 Why stock markets crash Critical Events in Complex Financial Systems (Princeton, NJ: Princeton University Press) at press
38. Sornette D and Andersen J V 2002 A nonlinear super-exponential rational model of speculative financial bubbles. Int. J. Mod. Phys. C 13 171-88
39. Sornette D and Johansen A 1997 Large financial crashes. Physica A 245 411-22
40. Sornette D and Johansen A 2001 Significance of log-periodic precursors to financial crashes. Quant. Finance 1 452-71
41. Sornette D, Johansen A and Bouchaud J-P 1996 Stock market crashes, precursors and replicas J. Physique 16 167-75
42. Stauffer D and Sornette D 1999 Self-organized percolation model for stock market fluctuations. Physica A 271 496-506
43. Stout L A The investor confidence game, working paper available http://papers.ssrn.com/paper.taf?abstract_id=322301
44. Vandewalle N, Ausloos M, Boveroux P and Minguet A 1999 Visualizing the log-periodic pattern before crashes Eur. Phys. J. B 9 355-9
45. Wilson K G 1979 Problems in physics with many scales of length. Sci. Am. 241 158-79
46. Zhou W-X and Sornette D 2002 Statistical significance of periodicity and log-periodicity with heavy-tailed correlated noise. Int. J. Mod. Phys. C 13 137-70
47. Zhou W-X and Sornette D 2002 Evidence of intermittent cascades from discrete hierarchical dissipation in turbulence. Physica D 165 94-125
48. Zhou W-X and Sornette D 2002 Generalized q-analysis of log-periodicity: applications to critical ruptures. Phys. Rev. E 66 046111
49. Zhou W-X and Sornette D 2002 Non-parametric analyses of log-periodic precursors to financial crashes Preprint http://arXiv.org/abs/cond-mat/0205531
50. Zhou W-X, Sornette D and Pisarenko V 2002 New evidence of discrete scale invariance in the energy dissipation of three-dimensional turbulence: correlation approach and direct spectral detection. Int. J. Mod. Phys. C (http://arXiv.org/abs/cond-mat/0208347)
51. Zhou W-X and Sornette D Positive hazard rate and log-periodicity (in preparation)