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Predicting critical crashes? A new restriction for the free variables

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  • Graf v. Bothmer, Hans-Christian
  • Meister, Christian

Abstract

Several authors have noticed the signature of log-periodic oscillations prior to large stock market crashes. Unfortunately, the prediction of crashes with this method is difficult, since good fits of the corresponding log-periodic equation to stock market prices are also observed in quiet times.

Suggested Citation

  • Graf v. Bothmer, Hans-Christian & Meister, Christian, 2003. "Predicting critical crashes? A new restriction for the free variables," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 320(C), pages 539-547.
    • Handle: RePEc:eee:phsmap:v:320:y:2003:i:c:p:539-547
    DOI: 10.1016/S0378-4371(02)01535-2
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    References listed on IDEAS

    as
    1. Anders Johansen & Olivier Ledoit & Didier Sornette, 2000. "Crashes As Critical Points," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 219-255.
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