摘要翻译：
我们研究2008年10月雷曼兄弟控股公司（Lehman Brothers Holdings Inc.）于9月15日破产约三周后，全球所有主要证券交易所发生的全球市场崩溃的前兆。我们以伦敦证券交易所上市的富时100指数成份股为例，考察了股票收益的集体行为，并分析了市场模式，这是一种全市场的集体模式。在市场崩溃之前，集体行为的一个衡量标准急剧上升。它被证明与包括“金融危机”等词在内的新闻有关。它们本身并没有严重影响股票价格，但却加剧了股票市场参与者普遍存在的悲观情绪。在市场崩溃之前的雷曼危机之后，这样的消息越来越多。根据幂律，方差随着新闻的累积量而增加。
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英文标题：
《Collective behavior of stock prices as a precursor to market crash》
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作者：
Jun-ichi Maskawa
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  We study precursors to the global market crash that occurred on all main stock exchanges throughout the world in October 2008 about three weeks after the bankruptcy of Lehman Brothers Holdings Inc. on 15 September. We examine the collective behavior of stock returns and analyze the market mode, which is a market-wide collective mode, with constituent issues of the FTSE 100 index listed on the London Stock Exchange. Before the market crash, a sharp rise in a measure of the collective behavior was observed. It was shown to be associated with news including the words "financial crisis." They did not impact stock prices severely alone, but they exacerbated the pessimistic mood that prevailed among stock market participants. Such news increased after the Lehman shock preceding the market crash. The variance increased along with the cumulative amount of news according to a power law.
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PDF链接：
https://arxiv.org/pdf/1111.4637