Institute of Information Theory and Automation

Publication details

Can a stochastic cusp catastrophe model explain stock market crashes?

Journal Article

Baruník Jozef, Vošvrda Miloslav


serial: Journal of Economic Dynamics & Control vol.33, 10 (2009), p. 1824-1836

research: CEZ:AV0Z10750506

project(s): 46108, GAUK, GD402/09/H045, GA ČR, GA402/09/0965, GA ČR

keywords: Stochastic cusp catastrophe, Bifurcations, Singularity, Nonlinear dynamics, Stock market crash

abstract (eng):

This paper is the first attempt to fit a stochastic cusp catastrophe model to stock market data. We show that the cusp catastrophe model explains the crash of stock exchanges much better than other models.

abstract (cze):

Tento článek je prvním pokusem použít stochastickou teorii cusp katastrof na reálných datech z finančních trhů. Ukazujeme, že model cusp katastrof dokáže vysvětlit krachy finančních trhů mnohem lépe, než ostatní modely.

RIV: AH

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Last modification: 21.12.2012
Institute of Information Theory and Automation