This review presents a general theory of financial crashes and of stock market instabilities
that his co-workers and the author have developed over the past seven years. We start by …

The scientific study of complex systems has transformed a wide range of disciplines in
recent years, enabling researchers in both the natural and social sciences to model and …

Stock volatility has been unusually low since the 1987 stock market crash. The large
increase in stock prices since 1987 means that many days during 1996 and 1997 …

During any unique crisis, panic sell-off leads to a massive stock market crash that may
continue for more than a day, termed as mainshock. The effect of a mainshock in the form of …

The young science of complexity, which studies systems as diverse as the human body, the
earth and the universe, offers novel insights on the question raised in the title. The science of …

This title was first published in 2000: An investigation of the issue of financial markets
interdependence or integration through the application of recently developed and powerful …

We examine the performance of the Black‐Scholes (B‐S) formulas around (ie, before, during
and after) two periods of market stress: the subprime crisis (October, 2008) and the onset of …

• At 16.14%. the annualizedmonthly averagereturn on the stock market as measured by the
S&P 500 index is substantially. higher than the long-term (arithmetic) mean return of 12.4 …

Every unique crisis, a new and novel risk factor, leads to a rapid, synchronous and panic sell-
off by the investors that lead to a massive stock market crash, termed as mainshock, which …

We propose an agent-based model of financial markets with only one asset. Thirty-two
agents follow very simple rules inspired by Wolfram's Rule 110. They engage in buying …