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Time series of stock price and of two fractal overlap: Anticipating market crashes?

In: Practical Fruits of Econophysics

Author

Listed:
  • Bikas K. Chakrabarti

    (Saha Institute of Nuclear Physics)

  • Arnab Chatterjee

    (Saha Institute of Nuclear Physics)

  • Pratip Bhattacharyya

    (Saha Institute of Nuclear Physics)

Abstract

3 Summary The features of the time series for the overlap of two Cantor sets when one set moves with uniform relative velocity over the other looks somewhat similar to the time series of stock prices. We analyze both and explore the possibilities of anticipating a large (change in Cantor set) overlap or a large change in stock price. An anticipation method for some of the crashes has been proposed here, based on these observations.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_18
    DOI: 10.1007/4-431-28915-1_18
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    Cited by:

    1. 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.
    2. 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.

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