Original title: Cusp Catastrophe Theory: Application to U.S. Stock
Translated title: Aplikace teorie katastrof typu CUSP na akciove trhy USA
Authors: Baruník, Jozef ; Vošvrda, Miloslav
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2008, Liberec (CZ), 2008-09-17 / 2008-09-19
Year: 2008
Language: eng
Abstract: [eng] [cze]
The CUSP catastrophe model explains the crash of stock exchanges much better than alternative linear and logistic models. On the data U.S. staock markets we demonstrate that the crash of October 19, 1987 may be better explained by cusp catastropohe theory, which is not true for the crash of Sept.11, 2001 Model katastrof typu CUSP vysvětluje krachy na kapitálových trzích mnohem lépe než alternativní lineární a logistické modely. Na datových souborech z akciových trhů USA demonstrujeme, že krach z 19. 10. 1987 může být lépe vysvětlen podle CUSP modelu, což není pravda pro krach z 11.9.2001
Keywords: bifurcation; cusp catastrophe; nonlinear dynamics; singularity; stock market crash
Project no.: CEZ:AV0Z10750506 (CEP), 41108, LC06075 (CEP), GA402/06/0990 (CEP)
Funding provider: GA UK, GA MŠk, GA ČR
Host item entry: Proceedings of 26th International Conference Mathematical Methods in Economics 2008, ISBN 978-80-7372-387-3

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2008/E/barunik-0315072.pdf
Original record: http://hdl.handle.net/11104/0165390

Permalink: http://www.nusl.cz/ntk/nusl-39403


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