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Stock market crashes are outliers |
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| Authors: | A Johansen D Sornette |
| Institution: | (1) CATS, Niels Bohr Institute, Blegdamsvej 17, DK-2100, Denmark, DK;(2) Department of Earth and Space Science, and Institute of Geophysics and Planetary Physics, University of California, Los Angeles, California 90095, USA, US;(3) Laboratoire de Physique de la Matière Condensée (CNRS UMR6622), Université de Nice-Sophia Antipolis, B.P. 71, Parc Valrose, 06108 Nice Cedex 2, France, FR |
| Abstract: | We call attention against what seems to be a widely held misconception according to which large crashes are the largest events of distributions of price variations with fat tails. We demonstrate on the Dow Jones Industrial Average that with high probability the three largest crashes in this century are outliers. This result supports the suggestion that large crashes result from specific amplification processes that might lead to observable pre-cursory signatures. Received and Revised: 30 November 1997 / Accepted: 8 December 1997 |
| Keywords: | PACS 01 75 +mScience and society[:AND:]02 50 -rProbability theory stochastic processes and statistics - 89 90 +nOther areas of general interest to physicists |
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