Renormalization Group Analysis of October Market Crashes

Abstract

The self-similar analysis of time series, suggested earlier by the authors, is applied to the description of market crises. The main attention is payed to the October 1929, 1987 and 1997 stock market crises, which can be successfully treated by the suggested approach. The analogy between market crashes and critical phenomena is emphasized.

Corrections are made to match the published version

References in corpus (4)

• Large financial crashes
• Scaling behavior in economics: II. Modeling of company growth
• Temporal Dynamics in Perturbation Theory
• Critical Indices as Limits of Control Functions

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• Self-Similar Structures and Fractal Transforms in Approximation Theory
• Are Financial Crashes Predictable?
• Extrapolation of power series by self-similar factor and root approximants
• The sharp peak-flat trough pattern and critical speculation
• Weighted Fixed Points in Self-Similar Analysis of Time Series
• Booms and Crashes in Self-Similar Markets
• Interplay Between Approximation Theory and Renormalization Group
• New Approach to Modeling Symbiosis in Biological and Social Systems
• Stochastics theory of log-periodic patterns
• Crashes as Critical Points
• Predicting Financial Crashes Using Discrete Scale Invariance