Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes
AbstractWe present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated crashes from 1929 to 1998 on stock markets as diverse as the US, Hong-Kong or the Russian market and on currencies. To our knowledge, no major financial crash preceded by an extended bubble has occurred in the past 2 decades without exhibiting a similar log-periodic signature
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 9903006.
Length: 20 pages
Date of creation: 21 Mar 1999
Date of revision:
Note: Type of Document - postscript; prepared on Latex; pages: 20 ; figures: 11 fugures included. Submitted to Journal of Risk
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bubble crash log-periodic Nikkei prediction acceleration critical;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
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Science & Finance (CFM) working paper archive
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