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Another type of log-periodic oscillations on Polish stock market

Author

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  • Gnaciński, Piotr
  • Makowiec, Danuta

Abstract

Log-periodic oscillations have been used to predict price trends and crashes on financial markets. So far two types of log-periodic oscillations have been associated with the real markets. The first type oscillations accompany a rising market and end in a crash. The second type oscillations, called “anti-bubbles” appear after a crash, when the prices decrease.

Suggested Citation

  • Gnaciński, Piotr & Makowiec, Danuta, 2004. "Another type of log-periodic oscillations on Polish stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 322-325.
    • Handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:322-325
    DOI: 10.1016/j.physa.2004.06.143
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    Citations

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    Cited by:

    1. Yan, Wanfeng & Woodard, Ryan & Sornette, Didier, 2012. "Diagnosis and prediction of rebounds in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1361-1380.
    2. Sornette, Didier & Woodard, Ryan & Yan, Wanfeng & Zhou, Wei-Xing, 2013. "Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4417-4428.
    3. Zhou, Wei-Xing & Sornette, Didier, 2005. "Testing the stability of the 2000 US stock market “antibubble”," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 428-452.
    4. Cajueiro, Daniel O. & Tabak, Benjamin M. & Werneck, Filipe K., 2009. "Can we predict crashes? The case of the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1603-1609.
    5. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    6. Xiufeng Yan, 2021. "Multiplicative Component GARCH Model of Intraday Volatility," Papers 2111.02376, arXiv.org.
    7. Filimonov, V. & Sornette, D., 2013. "A stable and robust calibration scheme of the log-periodic power law model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3698-3707.

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