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The dbase is '''stockmarket''', and is loaded on mother. It's source files are in Bulk\stockmarket.
==Lit Review==
It seems that there's a non-econ based literature that tries to predict crashes using various statistical techniques. A bunch of these papers appear in the journal "Physica A: Statistical Mechanics and its Applications" (WX Zhou abd D Sornette authored 3 of them, and Sornette wrote a book called "Why stock markets crash: critical events in complex financial systems" [https://pdfs.semanticscholar.org/1e66/1c86a5207d0a8b3a900e4fa333c1b8b3c09d.pdf]). See, for example:
*Can one make any crash prediction in finance using the local Hurst exponent idea? [https://arxiv.org/pdf/cond-mat/0311627] *Antibubble and prediction of China's stock market and real-estate [https://arxiv.org/pdf/cond-mat/0312149]
*Can we predict crashes? The case of the Brazilian stock market [https://www.sciencedirect.com/science/article/abs/pii/S0378437108009898]
*Predicting critical crashes? A new restriction for the free variables [https://arxiv.org/pdf/cond-mat/0204295]
*Renormalization group analysis of the 2000–2002 anti-bubble in the US S&P500 index: explanation of the hierarchy of five crashes and prediction [https://arxiv.org/pdf/physics/0301023]
*Autoregressive conditional duration as a model for financial market crashes prediction
*The use of the Hurst exponent to predict changes in trends on the Warsaw Stock Exchange
*Stock market dynamics: Before and after stock market crashes
Others in non-finance/econ journals include:
*The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash [https://arxiv.org/pdf/cond-mat/0004263]
*Use of machine learning algorithms and twitter sentiment analysis for stock market prediction [https://acadpubl.eu/jsi/2017-115-6-7/articles/6/69.pdf]
*[PDF] Application of neural networks to stock market prediction
AS Kulkarni - Technical Report, 1996 - machine-learning.martinsewell.com [http://www.machine-learning.martinsewell.com/ann/Kulk96.pdf]
*Forecasting stock market crisis events using deep and statistical machine learning techniques
SP Chatzis, V Siakoulis, A Petropoulos… - Expert systems with …, 2018 - Elsevier
*[BOOK] Stock Market Crashes: Predictable and Unpredictable and What to Do About Them [https://books.google.com/books?hl=en&lr=&id=bJA4DwAAQBAJ&oi=fnd&pg=PR5&dq=stock+market+crashes&ots=mSPcOUqTyO&sig=FsETOYuBRK-OAflUuqN39R13i4Y]
In finance, econ, and business journals:
*The “CAPS” prediction system and stock market returns, CN Avery, JA Chevalier, RJ Zeckhauser - Review of Finance, 2016 [https://pdfs.semanticscholar.org/8a3d/8baca863c3799eac2db55e9e7abb4853725b.pdf]
*Testing for financial crashes using the log periodic power law model DS Brée, NL Joseph - International review of financial analysis, 2013 - Elsevier
*Naive trading rules in financial markets and wiener-kolmogorov prediction theory: a study of" technical analysis" SN Neftci - Journal of Business, 1991 - JSTOR [http://technicalanalysis.org.uk/chart-patterns/Neft91.pdf]
*Stock market bubbles in the laboratory, DP Porter, VL Smith - Applied mathematical finance, 1994 - Taylor & Francis
*Investor behavior in the October 1987 stock market crash: Survey evidence, RJ Shiller - 1987 - nber.org [https://www.nber.org/papers/w2446.pdf]
*Bubble diagnosis and prediction of the 2005–2007 and 2008–2009 Chinese stock market bubbles, ZQ Jiang, WX Zhou, D Sornette, R Woodard… - Journal of economic …, 2010 - Elsevier [https://arxiv.org/pdf/0909.1007]
*Stock market crashes in 2007–2009: were we able to predict them?, S Lleo, WT Ziemba - Quantitative Finance, 2012 - Taylor & Francis
*Market volatility prediction and the efficiency of the S & P 100 index option market, CR Harvey, RE Whaley - Journal of Financial Economics, 1992 - Elsevier [http://www.academia.edu/download/7523791/marvol.pdf]
*Does trading volume contain information to predict stock returns? Evidence from China's stock markets, CF Lee, OM Rui - Review of Quantitative Finance and Accounting, 2000 - Springer [https://www.researchgate.net/profile/Oliver_Rui/publication/5157464_Does_Trading_Volume_Contain_Information_to_Predict_Stock_Returns_Evidence_from_China%27s_Stock_Markets/links/0912f50d09024af4bc000000/Does-Trading-Volume-Contain-Information-to-Predict-Stock-Returns-Evidence-from-Chinas-Stock-Markets.pdf]
*US stock market crash risk, 1926–2010, DS Bates - Journal of Financial Economics, 2012 - Elsevier
*Triggering the 1987 stock market crash: Antitakeover provisions in the proposed house ways and means tax bill? ML Mitchell, JM Netter - Journal of Financial Economics, 1989 - Elsevier [http://schwert.ssb.rochester.edu/f423/JFE87_MN.pdf]
*To what extent did stock index futures contribute to the October 1987 stock market crash, A Antoniou, I Garrett - The Economic Journal, 1993 - academic.oup.com
*[PDF] A mean-reversion theory of stock-market crashes, E Hillebrand - Journal of Finance, 2003 - cofar.uni-mainz.de [https://www.cofar.uni-mainz.de/dgf2003/paper/paper75.pdf]
*Explaining what leads up to stock market crashes: A phase transition model and scalability dynamics, R Yalamova, B McKelvey - Journal of Behavioral Finance, 2011 - Taylor & Francis
*Speculative bubbles, crashes and rational expectations, OJ Blanchard - Economics letters, 1979 - Elsevier
Particularly useful papers might include:
*US stock market crashes and their aftermath: implications for monetary policy, FS Mishkin, EN White - 2002 - nber.org [https://www.nber.org/papers/w8992.pdf]
**This paper examines fifteen historical episodes of stock market crashes and their aftermath in the United States over the last one hundred years.
*Stock-market crashes and depressions, RJ Barro, JF Ursúa - 2009 - nber.org [https://www.nber.org/papers/w14760.pdf]
**Long-term data for 30 countries up to 2006 reveal 232 stock-market crashes (multi-year real returns of–25% or less) and 100 depressions (multi-year macroeconomic declines of 10% or more), with 71 of the cases matched by timing. The United States has two of the matched …
*[BOOK] Stock market crashes and speculative manias, EN White - 1996 - econpapers.repec.org [https://econpapers.repec.org/bookchap/elgeebook/610.htm]
**This volume offers an authoritiative selection of the best published articles on the great speculative manias and stock market crashes, which highlights their important similarities. These phenomena disrupt the normal activities of investors who use financial markets to …
*The predictability of stock market regime: evidence from the Toronto Stock Exchange,S Van Norden, H Schaller - The Review of Economics and Statistics, 1993 - JSTOR
**Thus the existence of bubbles would not only account for occasional asset price crashes but also rapid run-ups in asset prices before a crash. The question we address is whether or not stock market crashes and the booms that precede them are related to apparent deviations …
*Stock market crashes and dynamics of aftershocks, P Kapopoulos, F Siokis - Economics Letters, 2005 - Elsevier [https://www.researchgate.net/profile/Panayotis_Kapopoulos2/publication/236983927_Stock_market_crashes_and_dynamics_of_aftershocks/links/5f0c602e299bf1074452e322/Stock-market-crashes-and-dynamics-of-aftershocks.pdf]
**We begin with the intuitive observation that short-term business-as-usual process and bubble rising looks like an accelerated energy before an earthquake. In such a framework, the aftershocks resemble the correction process of the stock market.
