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Why stock markets crash : critical events in complex financial systems
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| 자료유형 | 단행본 |
|---|---|
| 서명/저자사항 | Why stock markets crash : critical events in complex financial systems/ Didier Sornette ; with a new preface by the author. |
| 개인저자 | Sornette, Didier,1957- author. |
| 발행사항 | Princeton, New Jersey: Princeton University Press, 2017. |
| 형태사항 | 1 online resource. |
| 총서사항 | Princeton science library |
| 기타형태 저록 | Print version: SORNETTE, DIDIER. WHY STOCK MARKETS CRASH. [Place of publication not identified] : PRINCETON University PRES, 2017 0691175950 |
| ISBN | 9781400885091 1400885094 |
| 서지주기 | Includes bibliographical references (pages 397-418) and index. |
| 내용주기 | Cover Page; Title Page; Copyright Page; Contents; Preface to the Princeton Science Library Edition; Preface to the 2002 Edition; Chapter 1: Financial Crashes: What, How, Why, and When?; What Are Crashes, and Why Do We Care?; The Crash of October 1987; Historical Crashes; The Tulip Mania; The South Sea Bubble; The Great Crash of October 1929; Extreme Events in Complex Systems; Is Prediction Possible? A Working Hypothesis; Chapter 2: Fundamentals of Financial Markets; The Basics; Price Trajectories; Return Trajectories; Return Distributions and Return Correlation The Efficient Market Hypothesis and the Random WalkThe Random Walk; A Parable: How Information Is Incorporated in Prices, Thus Destroying Potential "Free Lunches"; Prices Are Unpredictable, or Are They?; Risk-Return Trade-Off; Chapter 3: Financial Crashes are "Outliers"; What Are "Abnormal" Returns?; Drawdowns (Runs); Definition of Drawdowns; Drawdowns and the Detection of "Outliers"; Expected Distribution of "Normal" Drawdowns; Drawdown Distributions of Stock Market Indices; The Dow Jones Industrial Average; The Nasdaq Composite Index; Further Tests The Presence of Outliers Is a General PhenomenonMain Stock Market Indices, Currencies, and Gold; Largest U.S. Companies; Synthesis; Symmetry-Breaking on Crash and Rally Days; Implications for Safety Regulations of Stock Markets; Chapter 4: Positive Feedbacks; Feedbacks and Self-Organization in Economics; Hedging Derivatives, Insurance Portfolios, and Rational Panics; "Herd" Behavior and "Crowd" Effect; Behavioral Economics; Herding; Empirical Evidence of Financial Analysts' Herding; Forces of Imitation; It Is Optimal to Imitate When Lacking Information; Mimetic Contagion and the Urn Models Imitation from Evolutionary PsychologyRumors; The Survival of the Fittest Idea; Gambling Spirits; "Anti-Imitation" and Self-Organization; Why It May Pay to Be in the Minority; El-Farol's Bar Problem; Minority Games; Imitation versus Contrarian Behavior; Cooperative Behaviors Resulting from Imitation; The Ising Model of Cooperative Behavior; Complex Evolutionary Adaptive Systems of Boundedly Rational Agents; Chapter 5: Modeling Financial Bubbles and Market Crashes; What Is a Model?; Strategy for Model Construction in Finance; Basic Principles; The Principle of Absence of Arbitrage Opportunity Existence of Rational Agents"Rational Bubbles" and Goldstone Modes of the Price "Parity Symmetry" Breaking; Price Parity Symmetry; Speculation as Spontaneous Symmetry Breaking; Basic Ingredients of the Two Models; The Risk-Driven Model; Summary of the Main Properties of the Model; The Crash Hazard Rate Drives the Market Price; Imitation and Herding Drive the Crash Hazard Rate; The Price-Driven Model; Imitation and Herding Drive the Market Price; The Price Return Drives the Crash Hazard Rate; Risk-Driven versus Price-Driven Models |
| 일반주제명 | Stocks --Prices --History. Financial crises --United States --History. Stock exchanges --United States --History. Critical phenomena (Physics) Complexity (Philosophy) BUSINESS & ECONOMICS / Finance |
| 언어 | 영어 |
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