Can We Predict Stock Market Crashes?

摘要

In investment management, one of the most valuable skills to possess would be insight on the direction and speed of change in the market. Taken to an extreme, it would encompass the ability to predict bubbles and crashes. In Can We Predict Stock Market Crashes? in The Journal of Portfolio Management's, 40th Anniversary Issue, Sergio Focardi and Frank Fabozzi examine a new paradigm in economics that takes the complexity of modern financial systems into account.The authors draw on the work of Sornette, Minsky and many others to develop a framework for understanding growth, inflation and bubbles.The key considerations are: 1) modern economies are systems made of many interacting parts, and 2) the financial system and the creation of money play a key role in growth, bubbles and crises. This report and underlying research will be of interest to fund managers, investment strategists and sophisticated investors who wish to gain a philosophical perspective on market dynamics.