1999/09/30 by D. Sornette, Didier Sornette, D. Stauffer +5 · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Network Analysis Techniques #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #Opinion Dynamics and Social Influence #Statistical Finance (q-fin.ST) #Statistical Mechanics (cond-mat.stat-mech) #cond-mat.stat-mech #q-fin.ST
paper · pdf · doi:10.48550/arxiv.cond-mat/9909439
28 pages, 6 figures, to be published in the Proceedings of the Workshop `Facets of Universality: Climate, Biodynamics and Stock Markets' at Giessen University, June 1999, A. Bunde and H.-J. Schellnhuber eds
arxiv created 1999/09/30 · openalex publication_date 1999/09/30 · arxiv updated 2009/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the interaction between traders and hierarchical cascade models to unravel the possible correlation accross time scales, including the log-periodic signatures associated to financial crashes. The main empirical knowledge is summarized and some key empirical tests are presented.