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Empirical fractal geometry analysis of some speculative financial bubbles

Author

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  • Redelico, Francisco O.
  • Proto, Araceli N.

Abstract

Empirical evidence of a multifractal signature during increasing of a financial bubble leading to a crash is presented. The April 2000 crash in the NASDAQ composite index and a time series from the discrete Chakrabarti–Stinchcombe model for earthquakes are analyzed using a geometric approach and some common patterns are identified. These patterns can be related the geometry of the rising period of a financial bubbles with the non-concave entropy problem.

Suggested Citation

  • Redelico, Francisco O. & Proto, Araceli N., 2012. "Empirical fractal geometry analysis of some speculative financial bubbles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(21), pages 5132-5138.
    • Handle: RePEc:eee:phsmap:v:391:y:2012:i:21:p:5132-5138
    DOI: 10.1016/j.physa.2012.01.045
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    References listed on IDEAS

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    1. Bikas K. Chakrabarti & Arnab Chatterjee & Pratip Bhattacharyya, 2006. "Time series of stock price and of two fractal overlap: Anticipating market crashes?," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 107-110, Springer.
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    Cited by:

    1. Oh, Gabjin & Kim, Ho-yong & Ahn, Seok-Won & Kwak, Wooseop, 2015. "Analyzing the financial crisis using the entropy density function," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 464-469.
    2. da Fonseca, Eder Lucio & Ferreira, Fernando F. & Muruganandam, Paulsamy & Cerdeira, Hilda A., 2013. "Identifying financial crises in real time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1386-1392.
    3. Marcel Ausloos, 2014. "A biased view of a few possible components when reflecting on the present decade financial and economic crisis," Papers 1412.0127, arXiv.org.
    4. Leopoldo S'anchez-Cant'u & Carlos Arturo Soto-Campos & Andriy Kryvko, 2016. "Evidence of Self-Organization in Time Series of Capital Markets," Papers 1604.03996, arXiv.org, revised Mar 2017.

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