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Can a stochastic cusp catastrophe model explain stock market crashes?
ARTICLE IN PRESSContents lists available at ScienceDirect
Journal of Economic Dynamics Control
Journal of Economic Dynamics Control 33 (2009) 182418
doi:10.1
Cor
Czech R
E-mjournal homepage: /locate/jedcCan a stochastic cusp catastrophe model explain stock
market crashes?J. Barunik a,b,, M. Vosvrda a,b
a Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Opletalova 26, 110 000, Prague 1, Czech Republic
b Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Pod Vodarenskou Vezi 4, 182 08, Prague 8, Czech Republica r t i c l e i n f o
Article history:
Received 11 February 2008
Accepted 17 April 2009
Available online 12 May 2009
JEL classification:
C01
C53
Keywords:
Stochastic cusp catastrophe
Bifurcations
Singularity
Nonlinear dynamics
Stock market crash89/$ - see front matter 2009 Elsevier B.V. A
016/j.jedc.2009.04.004
responding author at: Institute of Economic
epublic. Tel.: +420776259273.
ail addresses: barunik@utia.cas.cz (J. Barunik)a b s t r a c t
This paper is the first attempt to fit a stochastic cusp catastrophe model to stock market
data. We show that the cusp catastrophe model explains the crash of stock exchanges
much better than other models. Using the data of U.S. stock markets we demonstrate
that the crash of October 19, 1987, may be better explained by cusp catastrophe theory,
which is not true for the crash of September 11, 2001. With the help of sentiment
measures, such as the index put/call options ratio and trading volume (the former
models the chartists, the latter the fundamentalists), we have found that the 1987
returns are bimodal, and the cusp catastrophe model fits these data better than
alternative models. Therefore we may say that the crash has been led by internal forces.
However, the causes for the crash of 2001 are external, which is also evident in much
weaker presence of bifurcations in the data. In this case, alternative models explain the
cra
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