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Modeling the Stock Market prior to large crashes

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 نشر من قبل Anders Johansen
 تاريخ النشر 1998
  مجال البحث فيزياء
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We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, ``bounded rationality and a probabilistic description. We also compare extensively two previously proposed models of log-periodic behavior of the stock market index prior to a large crash. We find that the model which follows the above requirements outperforms the other with a high statistical significance.



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