Describing Crises with a Critical Exponent of the Reggeon Field Theory

11 Pages Posted: 12 Jul 2016 Last revised: 17 Sep 2016

Date Written: July 11, 2016

Abstract

We present evidence that markets in crisis can be described by a critical exponent of the nonlinear-diffusion Reggeon Field Theory, calculated 40 years ago, with no free parameters, translated to finance. We propose this as a benchmark for average crisis behavior, to which individual crises can be rich or cheap. In another paper we present a quantitative model for the probability of equity crises in advance. An earlier paper contained a summary.

Keywords: markets in crisis, critical exponent, nonlinear-diffusion, Reggeon Field Theory, no free parameters, benchmark, rich or cheap

JEL Classification: E44, G01

Suggested Citation

Dash, Jan and Yang, Xipei, Describing Crises with a Critical Exponent of the Reggeon Field Theory (July 11, 2016). Available at SSRN: https://ssrn.com/abstract=2808149 or http://dx.doi.org/10.2139/ssrn.2808149

Jan Dash (Contact Author)

Bloomberg LP ( email )

731 Lexington Ave
New York, NY 10022
United States

Xipei Yang

Bloomberg L.P. ( email )

731 Lexington Avenue
New York, NY 10022
United States

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