2017/04/07 by Jennifer S. Jhun, Jhun, Jennifer, Patricia Palacios +3
Arts and Humanities · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #General Economics (econ.GN) #History and Philosophy of Physics (physics.hist-ph) #Market Dynamics and Volatility #Philosophy and History of Science #Risk Management (q-fin.RM)
paper · pdf · doi:10.48550/arxiv.1704.02392
openalex publication_date 2017/04/07 · openalex created_date 2022/10/01 · openalex updated_date 2026/07/28
We study the Johansen-Ledoit-Sornette (JLS) model of financial market crashes\n(Johansen, Ledoit, and Sornette [2000] "Crashes as Critical Points." Int. J.\nTheor. Appl. Finan. 3(2) 219-255). On our view, the JLS model is a curious case\nfrom the perspective of the recent philosophy of science literature, as it is\nnaturally construed as a "minimal model" in the sense of Batterman and Rice\n(Batterman and Rice [2014] "Minimal Model Explanations." Phil. Sci. 81(3):\n349-376) that nonetheless provides a causal explanation of market crashes, in\nthe sense of Woodward's interventionist account of causation (Woodward [2003].\nMaking Things Happen. Oxford:Oxford University Press).\n