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• W61182146 abstract "Why Stock Markets Crash: Critical Events in Complex Financial Systems, by Didier Sornette, 2003, Princeton, NJ: Princeton University Press Consider the following events: a tank within a rocket propulsion system fails during a launch; tectonic plates shift, causing the first significant earthquake in a locale for several decades; a stock market experiences a crash after a prolonged run-up in price levels. The commonality here is that all of these events are ultimately characterized by a rupture in the underlying system, following a buildup of pressure over a period of time. The recognition of certain engineering and geologic events as analogous in this way to financial market crashes was the impetus for the interesting and enjoyable new book Why Stock Markets Crash: Critical Events in Complex Financial Systems, by Didier Sornette. The major thesis of this book is that a stock market crash is not the result of short-term exogenous events, but rather involves a long-term endogenous buildup, with exogenous events acting merely as triggers. In particular, Sornette examines financial crashes within the framework of the spontaneous emergence of events in self-organizing systems, noting that extreme events are characteristic of many... 'complex systems.' The author employs mathematical tools-specifically, log-periodic power laws-to study the prebubble or precrash buildup in a financial system to its critical point. Efforts by nonfinancial people to analyze and explain financial phenomena using quantitative techniques from the hard and engineering sciences can be of tremendous use and interest to those of us in the financial community-provided that the mathematical techniques are applied by an author with an exposure to and understanding of the financial instruments, processes, and markets that are being analyzed. The author of Why Stock Markets Crash has done an admirable job of understanding and appreciating the financial world and its nuances. Didier Sornette is a professor of geophysics at UCLA, as well as a research director at the National Center of Scientific Research in France. He specializes in the prediction of catastrophic events within a complex system framework. In this book, as well as in a portion of his hundreds of journal articles, he takes his previous work in the physical and geological sciences and exports his mathematical modeling and prediction skills to the financial markets. In the first chapter, Sornette places historical financial events-in particular, market crashes-in a complex, self-organizing system framework. This is followed by two chapters devoted, respectively, to the basic concepts and characteristics of financial markets, and to some statistical analyses demonstrating that financial crashes are essentially outliers. …" @default.
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• W61182146 title "Why Stock Markets Crash: Critical Events in Complex Financial Systems" @default.
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