Visualizing the log-periodic pattern before crashes

Vandewalle, Nicolas; Ausloos, Marcel; Boveroux, P.; Minguet, A.

doi:10.1007/s100510050775

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Visualizing the log-periodic pattern before crashes

Vandewalle, Nicolas; Ausloos, Marcel; Boveroux, P. et al.

1999 • In European Physical Journal B -- Condensed Matter, 9 (2), p. 355-359

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https://hdl.handle.net/2268/18009

DOI
10.1007/s100510050775

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Abstract :

[en] We present a method for visualizing the pattern which we believe to be a precursor signature of financial crashes (or ruptures). The log-periodicity of the pattern is investigated through the envelope function technique. Three periods of the Down Jones Industrial Average (DJIA) are investigated: 1982-1987, 1992-1997 and 1993-1998. The presence of a rupture in the end of 1998 is outlined from data taken before the end of August 1998.

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 :

Visualizing the log-periodic pattern before crashes

Publication date :

May 1999

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

Volume :

Issue :

Pages :

355-359

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBi :

since 07 August 2009

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