Can log-periodic power law structures arise from random fluctuations?

DOI10.1016/J.PHYSA.2014.01.007MaRDI QIDQ1782685zbMATH OpenOpenAlexFDO

Authors Jan Henrik Wosnitza, Jens Leker

Publication date 20 September 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2014.01.007

zbMATH Keywords

discrete scale-invarianceeconophysicsFokker-Planck equationlog-periodic power lawMarkov processspeculative bubble bursts

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cites work

• 2000-2003 real estate bubble in the UK but not in the USA
• A Bayesian analysis of log-periodic precursors to financial crashes
• A statistical analysis of log-periodic precursors to financial crashes
• An iterative procedure for the estimation of drift and diffusion coefficients of langevin processes
• Analysis of data sets of stochastic systems
• CRASHES AS CRITICAL POINTS
• Critical market crashes
• Detecting log-periodicity in a regime-switching model of stock returns
• Discrete scale invariance in stock markets before crashes
• Evidence of Markov properties of high frequency exchange rate data
• scientific article; zbMATH DE number 5294498 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Liquidity crisis detection: an application of log-periodic power law structures to default prediction
• Log-periodic self-similarity: an emerging financial law?
• More on a statistical analysis of log-periodic precursors to financial crashes
• Multi-scale description and prediction of financial time series
• Pattern recognition and machine learning.
• Reconstruction of dynamical equations for traffic flow
• Renormalization group analysis of the 2000-2002 anti-bubble in the US S\& P500 index: explanation of the hierarchy of five crashes and prediction
• Significance of log-periodic precursors to financial crashes
• Spurious regressions in econometrics
• The Fokker-Planck equation. Methods of solution and applications.
• The US 2000--2002 market descent: how much longer and deeper?

Cited in

(4)

• Oscillations in the Tsallis income distribution
• Stability and hierarchy of quasi-stationary states: financial markets as an example
• Prediction of asset price bubbles based on log-periodic power-law singularity model
• Detection of financial bubbles using a log-periodic power law singularity (LPPLS) model

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Uses Software

• PRMLT

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