کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
977521 | 1480199 | 2006 | 5 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Log-periodic crashes revisited
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
We revisit the finding that crashes can be deterministic and governed by log-periodic formulas [D. Sornette, A. Johansen, Significance of log-periodic precursors to financial crashes, Quant. Finance 1 (2001) 452-471; D. Sornette, W.X. Zhou, The US 2000-2002 market descent: how much longer and deeper?, Quant. Finance 2 (2002) 468-481]. One- and two-harmonic equations are usually employed to fit daily data during bubble episodes. But a three-harmonics has been shown to fit anti-bubbles [A. Johansen, D. Sornette, Financial “anti-bubbles”: log-periodicity in gold and Nikkei collapses, Int. J. Mod. Phys. C 10 (1999) 563-575]. Here we show that the three-harmonic formula can work for bubble episodes as well as anti-bubbles. This is illustrated with daily data from the Brazilian real-US dollar exchange rate. And we also show that the three-harmonics can fit an intraday data set from that foreign exchange rate.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 364, 15 May 2006, Pages 331-335
Journal: Physica A: Statistical Mechanics and its Applications - Volume 364, 15 May 2006, Pages 331-335
نویسندگان
Raul Matsushita, Sergio da Silva, Annibal Figueiredo, Iram Gleria,