Sornette - Why Stock Markets Crash.pdf

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1、WhyStockMarketsCrashThispageintentionallyleftblankWhyStockMarketsCrashCriticalEventsinComplexFinancialSystemsDidierSornettePRINCETONUNIVERSITYPRESSPrincetonandOxfordCopyright©2003byPrincetonUniversityPressPublishedbyPrincetonUniversityPress,41WilliamStreet,Princeton,NewJers

2、ey08540IntheUnitedKingdom:PrincetonUniversityPress,3MarketPlace,Woodstock,OxfordshireOX201SYAllRightsReservedLibraryofCongressCataloging-in-PublicationDataSornette,D.Whystockmarketscrash:criticaleventsincomplexfinancialsystems/DidierSornette.p.cm.Includesbibliographicalrefer

3、encesandindex.ISBN0-691-09630-9(alk.paper)1.Financialcrises—History.2.Stocks—Prices—History.3.Financialcrises—UnitedStates—History.4.Stockexchanges—UnitedStates—History.5.Criticalphenomena(Physics).6.Complexity(Philosophy).I.Title.HB3722.S662002332.63222–dc212002024336Brit

4、ishLibraryCataloging-in-PublicationDataisavailableThisbookhasbeencomposedinTimesPrintedonacid-freepaper.www.pupress.princeton.eduPrintedintheUnitedStatesofAmerica10987654321ContentsxiiiPrefaceChapter13WhatAreCrashes,andWhyfinancialcrashes:DoWeCare?what,how,why,5TheCrashofOc

5、tober1987andwhen?37HistoricalCrashes7TheTulipMania9TheSouthSeaBubble12TheGreatCrashofOctober192915ExtremeEventsinComplexSystems20IsPredictionPossible?AWorkingHypothesisChapter227TheBasicsfundamentalsof27PriceTrajectoriesfinancialmarkets30ReturnTrajectories2633ReturnDistribut

6、ionsandReturnCorrelation38TheEfficientMarketHypothesisandtheRandomWalk38TheRandomWalkvicontents42AParable:HowInformationIsIncorporatedinPrices,ThusDestroyingPotential“FreeLunches”45PricesAreUnpredictable,orAreThey?47Risk–ReturnTrade-OffChapter349WhatAre“Abnormal”Returns?finan

7、cialcrashes51Drawdowns(Runs)are“outliers”51DefinitionofDrawdowns4954DrawdownsandtheDetectionof“Outliers”56ExpectedDistributionof“Normal”Drawdowns60DrawdownDistributionsofStockMarketIndices60TheDowJonesIndustrialAverage62TheNasdaqCompositeIndex65FurtherTests69ThePresenceofOut

8、liersIsaGeneralPhenomenon70MainStockMarketIndices,Currencies,andGold73LargestU.S.C