Why Stock Markets Crash: Critical Events in Complex Financial Systems, by Didier Sornette, 2003, Princeton, NJ: Princeton University Press Consider the following events: a pressure tank within a rocket propulsion system fails during a launch; tectonic plates shift, causing the first significant earthquake in a locale for several decades; a stock market experiences a crash after a prolonged run-up in price levels. The commonality here is that all of these events are ultimately characterized by a "rupture" in the underlying system, following a buildup of "pressure" over a period of time. The recognition of certain engineering and geologic events as analogous in this way to financial market crashes was the impetus for the interesting and enjoyable new book Why Stock Markets Crash: Critical Events in Complex Financial Systems, by Didier Sornette. The major thesis of this book is that a stock market crash is not the result of short-term exogenous events, but rather involves a long-term endogenous buildup, with exogenous events acting merely as triggers. In particular, Sornette examines financial crashes within the framework of the "spontaneous emergence of extreme events in self-organizing systems," noting that "extreme events are characteristic of many... 'complex systems.'" The author employs mathematical tools-specifically, log-periodic power laws-to study the prebubble or precrash buildup in a financial system to its critical point. Efforts by nonfinancial people to analyze and explain financial phenomena using quantitative techniques from the hard and engineering sciences can be of tremendous use and interest to those of us in the financial community-provided that the mathematical techniques are applied by an author with an exposure to and understanding of the financial instruments, processes, and markets that are being analyzed. The author of Why Stock Markets Crash has done an admirable job of understanding and appreciating the financial world and its nuances. Didier Sornette is a professor of geophysics at UCLA, as well as a research director at the National Center of Scientific Research in France. He specializes in the prediction of catastrophic events within a complex system framework. In this book, as well as in a portion of his hundreds of journal articles, he takes his previous work in the physical and geological sciences and exports his mathematical modeling and prediction skills to the financial markets. In the first chapter, Sornette places historical extreme financial events-in particular, market crashes-in a complex, self-organizing system framework. This is followed by two chapters devoted, respectively, to the basic concepts and characteristics of financial markets, and to some statistical analyses demonstrating that financial crashes are essentially outliers. …

Why Stock Markets Crash: Critical Events in Complex Financial Systems

Beyond Equilibrium Thermodynamics

Some time ago, Fisher and de Gennes pointed out that long-ranged correlations in a fluid close to its critical point Tc cause distinct forces between immersed colloidal particles which can even lead to flocculation [C. R. Acad. Sc. Paris B 287, 207 (1978)]. Here we calculate such forces between pairs of spherical particles as function of both relevant thermodynamic variables, i.e., the reduced temperature t = (T-Tc)/Tc and the field h conjugate to the order parameter. This provides the basis for specific predictions concerning the phase behavior of a suspension of colloidal particles in a near-critical solvent.

Critical Casimir Forces in Colloidal Suspensions

In this paper, we study the high temperature or low connectivity phase of the Viana–Bray model in the absence of magnetic field. This is a diluted version of the well known Sherrington–Kirkpatrick mean field spin glass. In the whole replica symmetric region, we obtain a complete control of the system, proving annealing for the infinite volume free energy and a central limit theorem for the suitably rescaled fluctuations of the multi-overlaps. Moreover, we show that free energy fluctuations, on the scale 1/N, converge in the infinite volume limit to a non-Gaussian random variable, whose variance diverges at the boundary of the replica-symmetric region. The connection with the fully connected Sherrington– Kirkpatrick model is discussed.

The high temperature region of the Viana-Bray diluted spin glass model

Book Review: Elements of the Random Walk: An Introduction for Advanced Students and Researchers

(2 + 1) [XTpXpH12, CTH11]. + [Zuc11b]. 0 [Fed17]. 1 [BELP15, CAS11, Cor16, Fed17, GDL10, GBL16, Hau16, JV19, KT12, KM19c, Li19, MN14b, Nak17, Pal11, Pan14, RT14, RBS16b, RY12, SS18c, Sug10, dOP18]. 1 + 1 [Sak18, CP15b]. 1/2 [MD10]. 1/f [FDR12]. 1/n [Per17]. 1/|x− y| [MSV10, MSV13]. 13 [DFL17]. 1 ≤ p ≤ ∞ [Dud13]. 1/f [HPF15]. 2 [AB19, ADS19, BF12, BNT13, DSS15, EKD12, Her13, Ily12, Lan10, Li12, Li19, LZ11, Ny13, Ost16, PSS16, ST14, Sch13b, TJ15, WPB15, dWL10]. 2 + 1 [dWL14]. 2.5 [BC15a]. 2R [WLEC17]. 2× 2 [CLTT13]. 3 [BCF19, BLS17, ESPP14, Kar18, SH16, SWKS14, dCCS19]. 3/2 [DK10]. 38 [Cam13]. 4 [BBS14, Zha14]. 4× 4 [LN19a]. 5/2 [DK10, EKD12]. 6 [EC11]. 8 [Zha14]. 90◦ [YM11]. 3 [Afz12]. 1−x [EFO11]. 13 [CDCL18]. 2 [ML15, QR13, ST11c]. 4 [HBB10]. 6 [BCL10a, BCL10b, EFO11]. x [EFO11].

/pdf/a-complete-bibliography-of-the-journal-of-statistical-2bw4esmzh4.pdf

Nelson H. F. Beebe

Papers

A Complete Bibliography of the Journal of Statistical Physics: 2000{2009