Why Stock Markets Crash: Critical Events in Complex Financial Systems by Didier Sornette

Why Stock Markets Crash: Critical Events in Complex Financial Systems by Didier Sornette
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Why Stock Markets Crash: Critical Events in Complex Financial Systems

by Didier Sornette

Publisher: Princeton University Press; illustrated edition edition (November 18, 2002)

From Publishers Weekly

It¡¯s everybody¡¯s favorite topic of conversation at the moment: why did the Dow and the Nasdaq tank so horrifically, and where did all the money go? UCLA professor Sornette does his best to tackle those questions. While CNBC anchor Ron Insana¡¯s recent Trend Watching took a reader-friendly look at the history of market bubbles, Sornette¡¯s approach is decidedly different. Befitting his status as an expert in geophysics, the author loads the text with enough charts, graphs and advanced economic theory to choke John Kenneth Galbraith (one chapter subheading, for instance, is "The Origin of Log-Periodicity in Hierarchical Systems"). It¡¯s a meaty book, with helpful autopsies of past crashes ranging from tulip mania in the Netherlands to the Nasdaq crash of April 2000, as well as information on how crashes might be predicted in the future. Unfortunately for the average investor who tends to get burned after these bubbles, Sornette¡¯s conclusion is that a mixture of "systemic instability" and plain old human greed means that market bubbles aren¡¯t about to disappear anytime soon. And neither, of course, will the subsequent crashes.


A highly recommended, enjoyable, well-researched, and thought-provoking book for anyone interested in stock markets and the modeling of financial processes.

(Rick Gorvett Journal of Risk and Insurance )

Sornette is both a statistical physicist and a member of a new breed of scientist: the econophysicist. . . . But Sornette's book is not just about finance and economics; it is also a mesmerizing introduction to game theory, fractals, catastrophe theory, critical phenomena, and much more. No prior knowledge of finance or economics is needed to understand the book. . . . Throughout the book, Sornette makes numerous, vivid comparisons with many other fields in which the various mathematical tools he describes can be applied.

(Frank Cuypers Physics Today )

The book is written in a readable style and does not require technical knowledge. Any reader interested in a serious approach to the origin and possible prediction of financial bubbles will enjoy reading it.

(Josep M. Porra Journal of Statistical Physics )