French Market .pdf
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Prediction of economic market crisis applied to French
We used the 150 stocks the most exchanged on the French market each day.
Actually, the French market is smaller than the US market, so when we tried to use more
stocks, the results were quite bad. Indeed, a lot of stocks were not enough exchanged to be
really representative of the market.
We fitted our distributions with kernel density estimations (gaussian kernel & bandwith=0.06) :
Figure 1 – Empirical data is represented in solid line, theoretical fit is representated in
These graphics reveal the bond market krach in France in 1994, the Asian crisis which
occurred in 1997 and 1998, dot-com bubble from 2001 to 2003, then subprimes crisis in 2006.
Here are the normal QQ-Plots for the 19 years :
We also computed U and D parameters with the method of moments :
As you can see on the following graph, the different crisis are highlighted by the peaks
on the evolution curve of the parameters :