Market Crashes as Critical Phenomena? Explanation, Idealization, and Universality in Econophysics

Jennifer Jhun, Patricia Palacios, James Owen Weatherall

We study the Johansen-Ledoit-Sornette (JLS) model of financial market crashes (Johansen, Ledoit, and Sornette [2000] "Crashes as Critical Points." Int. J. Theor. Appl. Finan. 3(2)…