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Stock market crashes, Precursors and Replicas

Didier Sornette·Anders Johansen·Jean-Philippe Bouchaud
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Abstract

We present an analysis of the time behavior of the $S\&P500$ (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and characteristic oscillations of relaxation. Combined, they all suggest a picture of a kind of dynamical critical point, with characteristic log-periodic signatures, similar to what has been found recently for earthquakes. These observations are confirmed on other smaller crashes, and strengthen the view of the stockmarket as an example of a self-organizing cooperative system.

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Didier Sornette, Anders Johansen, Jean-Philippe Bouchaud. 1995-10-06. Stock market crashes, Precursors and Replicas. https://doi.org/10.1051/jp1%3A1996135

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