<p>Modeling the behavior proceeding market crash in a hierarchically organized financial market</p>

Pivovarova A.S.; Steryakov A.A.

Issue 2, 2011 Vol. 3

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Modeling the behavior proceeding market crash in a hierarchically organized financial market

Pivovarova A.S., Steryakov A.A.

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List of references:

D. Sornette, A. Johansen. A hierarchical model of financial crashes // Physica A. — 1998. — V. 261. — P. 581–598. — DOI: 10.1016/S0378-4371(98)00433-6. — MathSciNet: MR1668217. — ads: 1998PhyA..261..581S.
D. Sornette, A. Johansen, J. P. Bouchaud. Stock market crashes, Precursors and Replicas // Journal de Physique, France. — 1996. — V. 6. — P. 167–175. — DOI: 10.1051/jp1:1996135. — ads: 1996JPhy1...6..167S.
А. Х. Бикулов, А. П. Зубарев, Л. В. Кайдалова. Иерархическая динамическая модель финансового рынка вблизи точки обвала и p-адический математический анализ // Вестн. Сам. гос. техн. ун-та. Сер. Физ.-мат. науки. — Самара: СамГТУ, 2006. — № 42. — С. 135–140.
А. В. Подлазов. Режимы с обострением с комплексными показателями. Лог-периодические колебания в модели разрыва пучка волокон // Препринты ИПМ им. М. В. Келдыша. — 2009. — № 35. — С. 22.
Y. Huang, G. Ouillon, H. Saleur, D. Sornette. Spontaneous generation of discrete scale invariance in growth models // Phys. Rev. E. — 1997. — V. 55. — P. 6433–6447. — DOI: 10.1103/PhysRevE.55.6433. — ads: 1997PhRvE..55.6433H.
E. Tostesen. Dynamics of hierarchically clustured cooperative agents. — University of Copenhagen, 1995. — Cand. Scient. Thesis.
R. Cont, J. P. Bouchaud. Herd behavior and aggregate fluctuations in speculative markets // Macroeconomic dynamics. — 2000. — V. 4, no. 2. — DOI: 10.1017/S1365100500015029.

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