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Vestn. Samar. Gos. Tekhn. Univ., Ser. Fiz.-Mat. Nauki [J. Samara State Tech. Univ., Ser. Phys. Math. Sci.]:
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Journal of Samara State Technical University, Ser. Physical and Mathematical Sciences, 2011, Issue 2(23), Pages 162–169
DOI: https://doi.org/10.14498/vsgtu885 (Mi vsgtu885) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Procedings of the 2nd International Conference "Mathematical Physics and its Applications"
Theoretical and Mathematical Physics

Johansen–Sornette hierarchical model of financial crashes and its ultrametric generalization

A. S. Pivivarova, A. A. Steryakov

Dept. of Physics, S. P. Korolyov Samara State Aerospace University (National Research University), Samara
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DOI: https://doi.org/10.14498/vsgtu885
Abstract: We consider the hierarchical model of financial crashes introduced by A. Johansen and D. Sornette which reproduces the log-periodic power law behavior of the price before the critical point. In order to build the generalization of this model we introduce the dependence of an influence exponent on an ultrametric distance between agents. Much attention is being paid to a problem of critical point universality which is investigated by comparison of probability density functions of the crash times corresponding to systems with various total numbers of agents.
Keywords: mathematical modeling, log-periodic power law, ultrametric distance, $p$-hierarchical structure, financial crashes.
Original article submitted 31/XII/2010
revision submitted – 13/III/2011
Bibliographic databases:
Document Type: Proceedings
UDC: 519.86
MSC: Primary 65C20; Secondary 93A13, 91B70
Language: Russian
Citation: A. S. Pivivarova, A. A. Steryakov, “Johansen–Sornette hierarchical model of financial crashes and its ultrametric generalization”, Vestn. Samar. Gos. Tekhn. Univ., Ser. Fiz.-Mat. Nauki [J. Samara State Tech. Univ., Ser. Phys. Math. Sci.], 2(23) (2011), 162–169
Citation in format AMSBIB
\Bibitem{PivSte11}
\by A.~S.~Pivivarova, A.~A.~Steryakov
\paper Johansen--Sornette hierarchical model of financial crashes and its ultrametric generalization
\jour Vestn. Samar. Gos. Tekhn. Univ., Ser. Fiz.-Mat. Nauki [J. Samara State Tech. Univ., Ser. Phys. Math. Sci.]
\yr 2011
\vol 2(23)
\pages 162--169
\mathnet{http://mi.mathnet.ru/vsgtu885}
\crossref{https://doi.org/10.14498/vsgtu885}
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Вестник Самарского государственного технического университета. Серия: Физико-математические науки
     
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