Article ID Journal Published Year Pages File Type
5103120 Physica A: Statistical Mechanics and its Applications 2017 15 Pages PDF
Abstract
In this study, we apply a wavelet methodology initially developed for geophysical data to financial data. Specifically, the method distinguishes between natural tectonic earthquakes and man made explosions. We exemplify using time series data from two financial events: the Lehman Brothers collapse and the Flash Crash event. We conclude that the Lehman Brothers collapse behaves like a natural earthquake while the Flash Crash event behaves like a human made explosion. This study may imply that the Lehman Brothers type events may be predicted, while sudden Flash Crash type events are not predictable.
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
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