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Bubbles and crashes in finance: A phase transition from random to deterministic behaviour in prices.. (2010). Fry, John.
In: MPRA Paper.
RePEc:pra:mprapa:24778.

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Cited: 2

Citations received by this document

Cites: 21

References cited by this document

Cocites: 26

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Stochastic modelling for financial bubbles and policy. (2015). Fry, John ; David, McMillan .
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:3:y:2015:i:1:p:1002152.

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  2. Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model. (2013). Yan, Wanfeng ; Sornette, Didier ; Zhou, Wei-Xing ; Woodard, Ryan .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:19:p:4417-4428.

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References

References cited by this document

  1. Andersen, J-V., and Sornette, D. (2004) Fearless versus fearful speculative financial bubbles. Physica A, 337 565-585.

  2. Black, A., Fraser, P., and Hoseli, M. (2006) House prices, fundamentals and bubbles Journal of Business Finance and Accounting 33 1535-1555.

  3. Campbell, J. Y., Lo., A., and MacKinlay, J. A. C. (1997) The econometrics of financial markets, Princeton University Press, Princeton.
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  4. Chang, G., and Feigenbaum, J. (2006) A Bayesian analysis of log-periodic precursors to financial crashes Quantative Finance 6 15-36.

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  6. Cont, R. and Tankov, P. Financial modelling with jump processes. Chapman and Hall/CRC, Boca Raton London Hiedelberg Washington DC (2004).
    Paper not yet in RePEc: Add citation now
  7. Cox, D. R. and Oakes, D. (1984) Analysis of survival data. Chapman and Hall/CRC, Boca Raton London New York Washington, D. C.
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  8. Feigenbaum, J. (2001b) More on a statistical analysis of log-periodic precursors to financial crashes Quantative Finance1 527-532 .

  9. Feigenbaum, J. A. (2001a) A statistical analysis of log-periodic precursors to financial crashes Quantative Finance 1 346-360.

  10. Feigenbaum1996}Feigenbaum, J. A. and Freund, P. G. O. (1996) Discrete scale invariance in stock markets before crashes International Journal of Modern Physics B 10 346-360.
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  11. Fry, J. M. (2008) Statistical modelling of financial crashes. PhD thesis, Department of Probability and Statistics, University of Sheffield.
    Paper not yet in RePEc: Add citation now
  12. Johansen, A. (2002) Comment on ``Are financial crashes predictable? Europhysics Letters 60 809-810.
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  13. Johansen, A. (2004) Origins of crashes in 3 US stock markets: shocks and bubbles Physica A. 338 135-142.

  14. Johansen, A., Ledoit, O. and Sornette, D. (2000) Crashes as critical points International Journal of Theoretrical and Applied Finance 3, 219-255.

  15. Laloux, L., Potters, M., Cont, R., Aguilar, J.-P and Bouchaud, J.-P. (1999) Are financial crashes predictable? Europhysics Letters 45 1-5.

  16. Sornette, D. (1998) Discrete scale invariance and complex dimensions Physics Reports 297 239-270.
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  17. Sornette, D. and Andersen, J-V. (2002) A nonlinear super-exponential rational model of speculative financial bubbles. International Journal of Modern Physics C 17 171-188.

  18. Sornette, D. and Johansen, A., (1997) Large financial crashes Physica A 245 411-422.

  19. Sornette, D. and Malevergne, Y. (2001) From rational bubbles to crashes Physica A 299 40-59.

  20. Yeomans, J. M. (1992) Statistical mechanics of phase transitions, Oxford University Press.
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  21. Zhou, W-X. and Sornette, D. (2003) 2000–2003 real estate bubble in the UK but not in the USA Physica A 329 249-262.

Cocites

Documents in RePEc which have cited the same bibliography

  1. A parsimonious inverse Cox-Ingersoll-Ross process for financial price modeling. (2023). Sornette, Didier ; Lin, LI.
    In: Papers.
    RePEc:arx:papers:2302.11423.

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  2. WHERE DO WE STAND IN CRYPTOCURRENCIES ECONOMIC RESEARCH? A SURVEY BASED ON HYBRID ANALYSIS. (2021). Fernandez Bariviera, Aurelio ; Meredizsola, Ignasi.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:35:y:2021:i:2:p:377-407.

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  3. Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi.
    In: Papers.
    RePEc:arx:papers:2003.09723.

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  4. Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi.
    In: Papers.
    RePEc:arx:papers:1910.02144.

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  5. “Speculative Influence Network” during financial bubbles: application to Chinese stock markets. (2018). Sornette, Didier ; Lin, LI.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:13:y:2018:i:2:d:10.1007_s11403-016-0187-7.

    Full description at Econpapers || Download paper

  6. Identification and critical time forecasting of real estate bubbles in the USA. (2017). Ardila, Diego ; Sornette, Didier ; Cauwels, Peter ; Sanadgol, Dorsa.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:4:p:613-631.

    Full description at Econpapers || Download paper

  7. Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles. (2017). Smilyanov, Georgi ; Cauwels, Peter ; Sornette, Didier.
    In: Swiss Finance Institute Research Paper Series.
    RePEc:chf:rpseri:rp1727.

    Full description at Econpapers || Download paper

  8. Deterministic versus stochastic aspects of superexponential population growth models. (2016). Grosjean, Nicolas ; Huillet, Thierry .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:455:y:2016:i:c:p:27-37.

    Full description at Econpapers || Download paper

  9. Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. (2015). Fry, John ; Cheah, Eng-Tuck.
    In: Economics Letters.
    RePEc:eee:ecolet:v:130:y:2015:i:c:p:32-36.

    Full description at Econpapers || Download paper

  10. Speculative Influence Network during financial bubbles: application to Chinese Stock Markets. (2015). Lin, LI ; Sornette, Didier.
    In: Papers.
    RePEc:arx:papers:1510.08162.

    Full description at Econpapers || Download paper

  11. Asset Price Bubbles. (2015). Jarrow, Robert.
    In: Annual Review of Financial Economics.
    RePEc:anr:refeco:v:7:y:2015:p:201-218.

    Full description at Econpapers || Download paper

  12. A Measure of Early Warning of Exchange-Rate Crises Based on the Hurst Coefficient and the Αlpha-Stable Parameter. (2014). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco ; Cruz-Ake, Salvador ; Rodriguez-Aguilar, Roman .
    In: MPRA Paper.
    RePEc:pra:mprapa:59046.

    Full description at Econpapers || Download paper

  13. Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model. (2013). Yan, Wanfeng ; Sornette, Didier ; Zhou, Wei-Xing ; Woodard, Ryan .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:19:p:4417-4428.

    Full description at Econpapers || Download paper

  14. Shocks in financial markets, price expectation, and damped harmonic oscillators. (2011). Italo De Paula Franca, ; Junior, Leonidas Sandoval .
    In: Papers.
    RePEc:arx:papers:1103.1992.

    Full description at Econpapers || Download paper

  15. Gaussian and non-Gaussian models for financial bubbles via econophysics. (2010). Fry, John.
    In: MPRA Paper.
    RePEc:pra:mprapa:27307.

    Full description at Econpapers || Download paper

  16. Bubbles and crashes in finance: A phase transition from random to deterministic behaviour in prices.. (2010). Fry, John.
    In: MPRA Paper.
    RePEc:pra:mprapa:24778.

    Full description at Econpapers || Download paper

  17. Bubbles and contagion in English house prices. (2009). Fry, John.
    In: MPRA Paper.
    RePEc:pra:mprapa:17687.

    Full description at Econpapers || Download paper

  18. Statistical modelling of financial crashes: Rapid growth, illusion of certainty and contagion. (2009). Fry, John.
    In: MPRA Paper.
    RePEc:pra:mprapa:16027.

    Full description at Econpapers || Download paper

  19. Nonlinear dynamical model of regime switching between conventions and business cycles. (2009). Sornette, D. ; Yukalov, V. I. ; Yukalova, E. P..
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:70:y:2009:i:1-2:p:206-230.

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  20. Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times. (2009). Sornette, Didier ; Lin, LI.
    In: Papers.
    RePEc:arx:papers:0911.1921.

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  21. Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis. (2009). Sornette, Didier ; Woodard, Ryan .
    In: Papers.
    RePEc:arx:papers:0905.0220.

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  22. Nurturing breakthroughs: lessons from complexity theory. (2008). Sornette, D..
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:3:y:2008:i:2:p:165-181.

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  23. Market Bubbles and Chrashes. (2008). Kaizoji, Taisei ; Sornette, Didier.
    In: MPRA Paper.
    RePEc:pra:mprapa:15204.

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  24. Nonlinear Dynamical Model of Regime Switching Between Conventions and Business Cycles. (2007). Sornette, D. ; Yukalov, V. I. ; Yukalova, E. P..
    In: Papers.
    RePEc:arx:papers:nlin/0701014.

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  25. Testing for rational bubbles in banking indices. (2006). Tabak, Benjamin ; Cajueiro, Daniel.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:366:y:2006:i:c:p:365-376.

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  26. Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis. (). Sornette, D. ; Woodard, R..
    In: Working Papers.
    RePEc:stz:wpaper:ccss-09-003.

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Authors registered in RePEc who have wrote about the same topic

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