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cond-mat1998
Modeling the Stock Market prior to large crashes
Anders Johansen, Didier Sornette
We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, ``bo…
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…