[en] From the analysis of (closing value) stock market index like the Dow Jones Industrial average and the S&P500 it is possible to observe the precursor of a so-called crash. This is shown on the Oct. 1987 and Oct. 1997 cases. The data analysis indicates that the index divergence has followed twice a "universal"; behavior, i.e. a logarithmic dependence, superposed on a well defined oscillation pattern. The prediction of the crash date is remarkable and can be done two months in advance. In the spirit of phase transition phenomena, the economic index is said to be analogous to a signal signature found in a two dimensional fluid of vortices.
Disciplines :
Physics
Author, co-author :
Vandewalle, Nicolas ; Université de Liège - ULiège > Département de physique > Physique statistique
Ausloos, Marcel ; Université de Liège - ULiège > Département de physique > Physique statistique appliquée et des matériaux - S.U.P.R.A.S.
Boveroux, P.
Minguet, A.
Language :
English
Title :
How the financial crash of October 1997 could have been predicted
Publication date :
July 1998
Journal title :
European Physical Journal B -- Condensed Matter
ISSN :
1434-6028
eISSN :
1434-6036
Publisher :
Springer Science & Business Media B.V., New York, United States - New York