NONPARAMETRIC ANALYSES OF LOG-PERIODIC PRECURSORS TO FINANCIAL CRASHES

DOI10.1142/S0129183103005212zbMath1079.91047arXivcond-mat/0205531MaRDI QIDQ5699954

Wei-Xing Zhou, Didier Sornette

Publication date: 27 October 2005

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0205531

zbMATH Keywords

Hilbert transform; critical phenomena; discrete scale invariance; log-periodicity; Financial crashes; generalized \(q\)-analysis

Mathematics Subject Classification ID

91B82: Statistical methods; economic indices and measures

Related Items

Modified profile likelihood inference and interval forecast of the burst of financial bubbles, 2000-2003 real estate bubble in the UK but not in the USA, Liquidity crisis detection: an application of log-periodic power law structures to default prediction, Critical market crashes

Cites Work

• Unnamed Item
• Unnamed Item
• Oscillatory finite-time singularities in finance, population and rupture
• Predicting critical crashes? A new restriction for the free variables
• Finite \(q\)-differences and the discrete renormalization group
• DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES
• A NONLINEAR SUPER-EXPONENTIAL RATIONAL MODEL OF SPECULATIVE FINANCIAL BUBBLES
• BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY
• Measures of globalization based on cross-correlations of world financial indices
• Algorithmic complexity of real financial markets