Picture 1 of 1
Stock photo
Picture 1 of 1
Stock photo
Why Stock Markets Crash : Critical Events in Complex Financial Systems by Didier Sornette (2004, Trade Paperback)
AlibrisBooks (462376)
98.6% positive Feedback
Price:
US $61.85
Approximately£45.98
+ $15.36 postage
Returns:
30 days return. Buyer pays for return postage. If you use an eBay delivery label, it will be deducted from your refund amount.
Condition:
New Trade paperback
- Buy it nowWhy Stock Markets Crash: Critical Events in Complex Financial Systems: New
Oops! Looks like we're having trouble connecting to our server.
Refresh your browser window to try again.
About this product
Product Identifiers
PublisherPrinceton University Press
ISBN-100691118507
ISBN-139780691118505
eBay Product ID (ePID)30212858
Product Key Features
Number of Pages448 Pages
LanguageEnglish
Publication NameWhy Stock Markets Crash : Critical events in Complex Financial Systems
SubjectEconomic History, General, Investments & Securities / Stocks, Economics / Theory, Physics / General
Publication Year2004
TypeTextbook
Subject AreaPhilosophy, Science, Business & Economics
AuthorDidier Sornette
FormatTrade Paperback
Dimensions
Item Height1.2 in
Item Weight22 Oz
Item Length9.2 in
Item Width6.1 in
Additional Product Features
Intended AudienceCollege Audience
Dewey Edition23
ReviewsA highly recommended, enjoyable, well-researched, and thought-provoking book for anyone interested in stock markets and the modeling of financial processes., "While its difficult to pinpoint what type of trader would enjoy this book the most, I think theres something for everyone, whether youre a quaint, technical trader or a fundamentalist. . . . I feel that Im smarter after finishing this book; I thoroughly enjoyed the lengthy journey, and would recommend this to any stock market enthusiast."-- Jeff Pierce, Seeking Alpha, "Sornette is both a statistical physicist and a member of a new breed of scientist: the econophysicist. . . . But Sornette's book is not just about finance and economics; it is also a mesmerizing introduction to game theory, fractals, catastrophe theory, critical phenomena, and much more. No prior knowledge of finance or economics is needed to understand the book. . . . Throughout the book, Sornette makes numerous, vivid comparisons with many other fields in which the various mathematical tools he describes can be applied."-- Frank Cuypers, Physics Today, A highly recommended, enjoyable, well-researched, and thought-provoking book for anyone interested in stock markets and the modeling of financial processes. -- Rick Gorvett, Journal of Risk and Insurance, "A highly recommended, enjoyable, well-researched, and thought-provoking book for anyone interested in stock markets and the modeling of financial processes."-- Rick Gorvett, Journal of Risk and Insurance, "Sornette is both a statistical physicist and a member of a new breed of scientist: the econophysicist. . . . But Sornette's book is not just about finance and economics; it is also a mesmerizing introduction to game theory, fractals, catastrophe theory, critical phenomena, and much more. No prior knowledge of finance or economics is needed to understand the book. . . . Throughout the book, Sornette makes numerous, vivid comparisons with many other fields in which the various mathematical tools he describes can be applied." --Frank Cuypers, Physics Today, "While it's difficult to pinpoint what type of trader would enjoy this book the most, I think there's something for everyone, whether you're a quaint, technical trader or a fundamentalist. . . . I feel that I'm smarter after finishing this book; I thoroughly enjoyed the lengthy journey, and would recommend this to any stock market enthusiast." --Jeff Pierce, Seeking Alpha, While it's difficult to pinpoint what type of trader would enjoy this book the most, I think there's something for everyone, whether you're a quaint, technical trader or a fundamentalist. . . . I feel that I'm smarter after finishing this book; I thoroughly enjoyed the lengthy journey, and would recommend this to any stock market enthusiast., While it's difficult to pinpoint what type of trader would enjoy this book the most, I think there's something for everyone, whether you're a quaint, technical trader or a fundamentalist. . . . I feel that I'm smarter after finishing this book; I thoroughly enjoyed the lengthy journey, and would recommend this to any stock market enthusiast. -- Jeff Pierce, Seeking Alpha, "The book is written in a readable style and does not require technical knowledge. Any reader interested in a serious approach to the origin and possible prediction of financial bubbles will enjoy reading it."-- Josep M. Porra, Journal of Statistical Physics, Sornette is both a statistical physicist and a member of a new breed of scientist: the econophysicist. . . . But Sornette's book is not just about finance and economics; it is also a mesmerizing introduction to game theory, fractals, catastrophe theory, critical phenomena, and much more. No prior knowledge of finance or economics is needed to understand the book. . . . Throughout the book, Sornette makes numerous, vivid comparisons with many other fields in which the various mathematical tools he describes can be applied., Sornette is both a statistical physicist and a member of a new breed of scientist: the econophysicist. . . . But Sornette's book is not just about finance and economics; it is also a mesmerizing introduction to game theory, fractals, catastrophe theory, critical phenomena, and much more. No prior knowledge of finance or economics is needed to understand the book. . . . Throughout the book, Sornette makes numerous, vivid comparisons with many other fields in which the various mathematical tools he describes can be applied. -- Frank Cuypers, Physics Today, "A highly recommended, enjoyable, well-researched, and thought-provoking book for anyone interested in stock markets and the modeling of financial processes." --Rick Gorvett, Journal of Risk and Insurance, The book is written in a readable style and does not require technical knowledge. Any reader interested in a serious approach to the origin and possible prediction of financial bubbles will enjoy reading it., "The book is written in a readable style and does not require technical knowledge. Any reader interested in a serious approach to the origin and possible prediction of financial bubbles will enjoy reading it." --Josep M. Porra, Journal of Statistical Physics, "While it's difficult to pinpoint what type of trader would enjoy this book the most, I think there's something for everyone, whether you're a quaint, technical trader or a fundamentalist. . . . I feel that I'm smarter after finishing this book; I thoroughly enjoyed the lengthy journey, and would recommend this to any stock market enthusiast."-- Jeff Pierce, Seeking Alpha, The book is written in a readable style and does not require technical knowledge. Any reader interested in a serious approach to the origin and possible prediction of financial bubbles will enjoy reading it. -- Josep M. Porra, Journal of Statistical Physics
IllustratedYes
Dewey Decimal332.63/222
Table Of ContentPreface xiii CHAPTER 1: FINANCIAL CRASHES: WHAT, HOW, WHY, AND WHEN? 3 What Are Crashes, and Why Do We Care? 3 The Crash of October 1987 5 Historical Crashes 7 The Tulip Mania 7 The South Sea Bubble 9 The Great Crash of October 1929 12 Extreme Events in Complex Systems 15 Is Prediction Possible? A Working Hypothesis 20CHAPTER 2: FUNDAMENTALS OF FINANCIAL MARKETS 26 The Basics 27 Price Trajectories 27 Return Trajectories 30 Return Distributions and Return Correlation 33 The Efficient Market Hypothesis and the Random Walk 38 The Random Walk 38 A Parable: How Information Is Incorporated in Prices, Thus Destroying Potential "Free Lunches" 42 Prices Are Unpredictable, or Are They? 45 Risk-Return Trade-Off 47CHAPTER 3: FINANCIAL CRASHES ARE "OUTLIERS" 49 What Are "Abnormal" Returns? 49 Drawdowns (Runs) 51 Definition of Drawdowns 51 Drawdowns and the Detection of "Outliers" 54 Expected Distribution of "Normal" Drawdowns 56 Drawdown Distributions of Stock Market Indices 60 The Dow Jones Industrial Average 60 The Nasdaq Composite Index 62 Further Tests 65 The Presence of Outliers Is a General Phenomenon 69 Main Stock Market Indices, Currencies, and Gold 70 Largest U.S. Companies 73 Synthesis 75 Symmetry-Breaking on Crash and Rally Days 76 Implications for Safety Regulations of Stock Markets 77CHAPTER 4: POSITIVE FEEDBACKS 81 Feedbacks and Self-Organization in Economics 82 Hedging Derivatives, Insurance Portfolios, and Rational Panics 89 "Herd" Behavior and "Crowd" Effect 91 Behavioral Economics 91 Herding 94 Empirical Evidence of Financial Analysts 'Herding' 96 Forces of Imitation 99 It Is Optimal to Imitate When Lacking Information 99 Mimetic Contagion and the Urn Models 104 Imitation from Evolutionary Psychology 106 Rumors 108 The Survival of the Fittest Idea 111 Gambling Spirits 112 "Anti-Imitation" and Self-Organization 114 Why It May Pay to Be in the Minority 114 El-Farol's Bar Problem 115 Minority Games 117 Imitation versus Contrarian Behavior 118 Cooperative Behaviors Resulting from Imitation 121 The Ising Model of Cooperative Behavior 122 Complex Evolutionary Adaptive Systems of Boundedly Rational Agents 130CHAPTER 5: MODELING FINANCIAL BUBBLES AND MARKET CRASHES 134 What Is a Model? 134 Strategy for Model Construction in Finance 135 Basic Principles 135 The Principle of Absence of Arbitrage Opportunity 136 Existence of Rational Agents 137 "Rational Bubbles" and Goldstone Modes of the Price "Parity Symmetry" Breaking 139 Price Parity Symmetry 140 Speculation as Spontaneous Symmetry Breaking 144 Basic Ingredients of the Two Models 148 The Risk-Driven Model 150 Summary of the Main Properties of the Model 150 The Crash Hazard Rate Drives the Market Price 152 Imitation and Herding Drive the Crash Hazard Rate 155 The Price-Driven Model 162 Imitation and Herding Drive the Market Price 162 The Price Return Drives the Crash Hazard Rate 164 Risk-Driven versus Price-Driven Models 168CHAPTER 6: HIERARCHIES, COMPLEX FRACTAL DIMENSIONS, AND LOG-PERIODICITY 172 Critical Phenomena by Imitation on Hierarchical Networks 173 The Underlying Hierarchical Structure of Social Networks 173 Critical Behavior in Hierarchical Networks 177 A Hierarchical Model of Financial Bubbles 181 Origin of Log-Periodicity in Hierarchical Systems 186 Discrete Scale Invariance 186 Fractal Dimensions 188 Organization Scale by Scale: The Renormalization Group 192 Principle and Illustration of the Renormalization Group 192 The Fractal Weierstrass Function: A Singular Time-Dependent Solution of the Renormalization Group 195 Complex Fractal Dimensions and Log-Periodicity 198 Importance and Usefulness of Discrete Scale Invariance 208 Existence of Relevant Length Scales 208 Prediction 209 Scenarios Leading
SynopsisThe scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials. In this book, Didier Sornette boldly applies his varied experience in these areas to propose a simple, powerful, and general theory of how, why, and when stock markets crash. Most attempts to explain market failures seek to pinpoint triggering mechanisms that occur hours, days, or weeks before the collapse. Sornette proposes a radically different view: the underlying cause can be sought months and even years before the abrupt, catastrophic event in the build-up of cooperative speculation, which often translates into an accelerating rise of the market price, otherwise known as a "bubble." Anchoring his sophisticated, step-by-step analysis in leading-edge physical and statistical modeling techniques, he unearths remarkable insights and some predictions--among them, that the "end of the growth era" will occur around 2050. Sornette probes major historical precedents, from the decades-long "tulip mania" in the Netherlands that wilted suddenly in 1637 to the South Sea Bubble that ended with the first huge market crash in England in 1720, to the Great Crash of October 1929 and Black Monday in 1987, to cite just a few. He concludes that most explanations other than cooperative self-organization fail to account for the subtle bubbles by which the markets lay the groundwork for catastrophe. Any investor or investment professional who seeks a genuine understanding of looming financial disasters should read this book. Physicists, geologists, biologists, economists, and others will welcome Why Stock Markets Crash as a highly original "scientific tale," as Sornette aptly puts it, of the exciting and sometimes fearsome--but no longer quite so unfathomable--world of stock markets., The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials.
LC Classification NumberHB3722.S66 2004
All listings for this product
Be the first to write a review
