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cond-mat1999
Predicting Financial Crashes Using Discrete Scale Invariance
Anders Johansen, Didier Sornette, Olivier Ledoit
We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growin…
cond-mat1998
Crashes as Critical Points
Anders Johansen, Olivier Ledoit, Didier Sornette
We study a rational expectation model of bubbles and crashes. The model has two components : (1) our key assumption is that a crash may be caused by local self-reinforcing imitatio…