Johansen-Sornette hierarchical model of financial crashes and its ultrametric generalization
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 u...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Samara State Technical University
2011-06-01
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| Series: | Vestnik Samarskogo Gosudarstvennogo Tehničeskogo Universiteta. Seriâ: Fiziko-Matematičeskie Nauki |
| Subjects: | |
| Online Access: | https://journals.eco-vector.com/1991-8615/article/viewFile/21026/17284 |