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arXiv · 0807.2083

Market dynamics after large financial crash

G. L. Buchbinder·K. M. Chistilin
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Abstract

The model describing market dynamics after a large financial crash is considered in terms of the stochastic differential equation of Ito. Physically, the model presents an overdamped Brownian particle moving in the nonstationary one-dimensional potential $U$ under the influence of the variable noise intensity, depending on the particle position $x$. Based on the empirical data the approximate estimation of the Kramers-Moyal coefficients $D_{1,2}$ allow to predicate quite definitely the behavior of the potential introduced by $D_1 = - \partial U /\partial x$ and the volatility $\sim \sqrt{D_2}$. It has been shown that the presented model describes well enough the best known empirical facts relative to the large financial crash of October 1987. \

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BibTeXRIS

G. L. Buchbinder, K. M. Chistilin. 2008-07-14. Market dynamics after large financial crash. https://arxiv.org/abs/0807.2083

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