Booms and Crashes in Self-Similar Markets

TL;DR

This paper analyzes market booms and crashes using self-similar analysis, drawing parallels with critical phenomena in physics, and provides a classification of market crisis phenomena.

Contribution

It introduces a self-similar analysis approach to study market crises and offers a simple classification of these phenomena.

Findings

Market crises resemble critical phenomena in physics.

Self-similar analysis effectively characterizes sharp market changes.

A new classification scheme for market crises is proposed.

Abstract

Sharp changes in time series representing market dynamics are studied by means of the self--similar analysis suggested earlier by the authors. These sharp changes are market booms and crashes. Such crises phenomena in markets are analogous to critical phenomena in physics. A simple classification of the market crisis phenomena is given.