DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES

DOI10.1142/S021797929600204XzbMath1229.91265arXivcond-mat/9509033WikidataQ60844396 ScholiaQ60844396MaRDI QIDQ3106718

Peter G. O. Freund, James A. Feigenbaum

Publication date: 29 December 2011

Published in: International Journal of Modern Physics B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/9509033

Mathematics Subject Classification ID

91B80: Applications of statistical and quantum mechanics to economics (econophysics)

Related Items

Significance of log-periodic signatures in cumulative noise, CHANGE-POINT ANALYSIS OF ASSET PRICE BUBBLES WITH POWER-LAW HAZARD FUNCTION, LOGISTIC MODEL FOR STOCK MARKET BUBBLES AND ANTI-BUBBLES, A Bayesian analysis of log-periodic precursors to financial crashes, NONPARAMETRIC ANALYSES OF LOG-PERIODIC PRECURSORS TO FINANCIAL CRASHES, PERSISTENCE PROBABILITY IN FINANCIAL DYNAMICS, RECURRENCE PLOT AND RECURRENCE QUANTIFICATION ANALYSIS TECHNIQUES FOR DETECTING A CRITICAL REGIME., Strict local martingales and optimal investment in a Black–Scholes model with a bubble, Quantifying the dynamics of financial correlations, Generalized persistence probability in a dynamic economic index, Statistical physics in foreign exchange currency and stock markets, Liquidity crisis detection: an application of log-periodic power law structures to default prediction, Can log-periodic power law structures arise from random fluctuations?, Discrete scale-invariance in cross-correlations between time series, Stochastic resonance as a model for financial market crashes and bubbles, Predicting critical crashes? A new restriction for the free variables, Critical market crashes, Log-periodic self-similarity: an emerging financial law?, New JLS-factor model versus the standard JLS model: a case study on Chinese stock bubbles, STOCK MECHANICS: A GENERAL THEORY AND METHOD OF ENERGY CONSERVATION WITH APPLICATIONS ON DJIA, CRASHES AS CRITICAL POINTS, BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY, Detecting log-periodicity in a regime-switching model of stock returns