Why Stock Markets Crash : Critical Events in Complex Financial Systems

Author: Didier Sornette
List Price: $45.00
Our Price: Click to see the latest and low price
ISBN: 0691096309
Publisher: Princeton Univ Pr (18 November, 2002)
Sales Rank: 32,332
Average Customer Rating: 4.28 out of 5

Customer Reviews

Rating: 5 out of 5
Why Stock Markets Crash
Didier Sornette has written an elegant and penetrating study of the complex elements which contribute to financial booms and their associated busts. Its most important conclusion is that potential crashes are proceeded by statistical â??fingerprintsâ??, largely independent of the particular markets involved, which permit their timing to be estimated within narrow limits by mathematical modeling, as demonstrated by numerous examples.

The book attempts two difficult challenges: first to model the potential timings of instabilities conducive to crashes in financial markets, and second to describe both the resulting models and their underlying phenomena intelligibly to the lay reader unfamiliar with much, or even all, of the mathematics involved. I found the author remarkably successful on both counts. The book reads uncommonly well provided one does not get distracted by the inevitable unfamiliarity of some of the mathematical terms, and in support of its main argument presents a wealth of interesting and uncommon information. Importantly, it also reflects a familiarity with the realities of financial markets, typically lacking in academic studies of market phenomena.

This appraisal will not be shared by all readers. If you are a fan of Kramer and Kudlow or prefer information about financial markets in sound bites from CNBC, or if you are looking for specific guidance on how to make money in markets, this book is not written for you. Furthermore, the book contains references to a considerable amount of serious mathematics which is likely to annoy some fraction of its readership. This can be circumvented, as suggested, by simply skimming whatever is unfamiliar. What is missed will have been addressed to a different audience, and not much of relevance will be lost. However, if you are frustrated by (or hostile to) unfamiliar mathematical terms and references, however inessential to the gist of the argument, best give it a pass.

For the rest, this is a deep study of engaging interest which repays more than one reading.


Rating: 5 out of 5
New Insights into Market Dynamics
I highly recommend this book, and it may cost you a whole lot of money if you don't read it. EconoPhysics is (quietly) entering the research departments of Wall Street investment firms, so you may do well to take a look for yourself, and this book is a great place to start. It's a fascinating read on market forces and dynamics, and how it all plays out on its way to the extremes (bubbles & crashes). The author reveals findings of a new approach to market analysis and predictions based on studies of real-life, complex systems, which are modelled by a small number of simple rules, wherein a "critical state" can arise, from which chaos (or order!) spontaneously breaks out. It sounds counter-intuitive, but researchers around the world are successfully applying the emerging science of complex systems over a broad range of interests, and unmasking order (predictable patterns) in what was once thought to be random or intractable data. This book takes you down that path and meets up with a little thing called The Market! The reader is given insight into the apparent vagaries of market dynamics from a fresh perspective, walking you through market models and dynamics that account for "herding" behavior around market extremes, wherein pockets of predictability arise. It's all explained without a whole lot of math -- what's not to like? It's the first time I've had fracals explained in simple terms of dimensions, without bifurcation charts, and discussions of "attractors".

To give you a flavor of the book's perspective, consider what happens during a typical day in the market when all of the momentum players, trend spotters, value hounds and growth seekers meet up with each other via buy and sell orders. Typically, the market doesn't move very much, though billions of trades execute. As the author explains, this is possible only through what may be described as complete chaos. That is (simplifying here), for every person who thinks the price is going to fall, and acts on it, there is someone who must be doing the exact opposite. So, the market is stabilized only through complete disagreement (disorder). It's those rare times when agreement (order) rules the day that you get HUGE market swings. The good news is that order is something we can wrap our minds around, identify driving forces, build models, and make predictions -- and this book does all that.

There are not many equations in this book, and you can skip them without losing lock on the book's theme. The concepts and tools covered in this book are at the cutting edge of science and probably new to you, but new analytical insights are valuable, and the author explains them all in layman's terms. I look at this book as a scientific study into Warren Buffet's statement that money managers are "lemmings".


Rating: 5 out of 5
An Engaging and Thought-Provoking Work
If you love to read works on economics, math and physics and love to assemble models of the world, I cannot recommend this book highly enough. Indeed, if economic models were this much fun when I was an undergraduate, I might have become an economist.

Funny thing though, this was not written by an economist, but by a geophysicist.
It seems physicists and psychologists in particular are writing more interesting economics books these days than economists themselves.

The core focus of the book is a derivation of a market model that includes value investors, momentum investors and the herding effect of individual economic agents acting in a world of partial information. The final model is stunning.

Sornette points out the main problem with predicting bubbles: even if all the signs say "yes," there is still a pretty good chance that the bubble will be self-correcting. Turns out chasing market bubbles is a little like chasing soap bubbles - they may simply disappear at any moment. Thus, the book and the model are of limited use in any type of market timing. Indeed, the model suggests that the market should now be in the tank, and yet it continues to hover on the higher side of its expected range.

As much as I loved the book, there was a slight aftertaste that this was all nothing but a very mathematical and high-minded type of technical analysis. That at base, when all was said and done, this was not all that different from the various "tools" in the chartist's handbook, e.g. MACD, RSI and OBV, etc., etc., etc. The difference may be solely that Sornette knows his statistics and would easily and readily dismiss any model which did not perform significantly different from chance.

Finally, this book will have you trotting out your old high school calculus book. It brought back memories of just how much fun mathematics can be.

All in all - I give it 5 stars.

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