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- W3123584789 abstract "In this paper, we quantitatively investigate the properties of a statistical ensemble of stock prices. We focus attention on the relative price defined as $ X(t) = S(t)/S(0) $, where $ S(0) $ is the initial price. We selected approximately 3200 stocks traded on the Japanese Stock Exchange and formed a statistical ensemble of daily relative prices for each trading day in the 3-year period from January 4, 1999 to December 28, 2001, corresponding to the period in which the {it internet Bubble} formed and {it crashes} in the Japanese stock market. We found that the upper tail of the complementary cumulative distribution function of the ensemble of the relative prices in the high value of the price is well described by a power-law distribution, $ P(S>x) sim x^{-alpha} $, with an exponent that moves over time. Furthermore, we found that as the power-law exponents $ alpha $ approached {it two}, the bubble burst. It is reasonable to assume that when the power-law exponents approached {it two}, it indicates the bubble is about to burst. PACS: 89.65.Gh; Keywords: Market crashes, Power law, Precursor" @default.
- W3123584789 created "2021-02-01" @default.
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- W3123584789 date "2005-10-07" @default.
- W3123584789 modified "2023-09-27" @default.
- W3123584789 title "A Precursor of Market Crashes" @default.
- W3123584789 hasPublicationYear "2005" @default.
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