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World Financial 2014-2016 Market Bubbles: Oil Negative - US Dollar Positive

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  • Marcin Wk{a}torek
  • Stanis{l}aw Dro.zd.z
  • Pawe{l} O'swik{e}cimka

Abstract

Based on the Log-Periodic Power Law (LPPL) methodology, with the universal preferred scaling factor $\lambda \approx 2$, the negative bubble on the oil market in 2014-2016 has been detected. Over the same period a positive bubble on the so called commodity currencies expressed in terms of the US dollar appears to take place with the oscillation pattern which largely is mirror reflected relative to oil price oscillation pattern. This documents recent strong anti-correlation between the dynamics of the oil price and of the USD. A related forecast made at the time of FENS 2015 conference (beginning of November) turned out to be quite satisfactory. These findings provide also further indication that such a log-periodically accelerating down-trend signals termination of the corresponding decreases.

Suggested Citation

  • Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Pawe{l} O'swik{e}cimka, 2016. "World Financial 2014-2016 Market Bubbles: Oil Negative - US Dollar Positive," Papers 1606.01218, arXiv.org.
    • Handle: RePEc:arx:papers:1606.01218
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    Cited by:

    1. Shu, Min & Zhu, Wei, 2020. "Detection of Chinese stock market bubbles with LPPLS confidence indicator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    2. Zhou, Wei & Huang, Yang & Chen, Jin, 2018. "The bubble and anti-bubble risk resistance analysis on the metal futures in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 947-957.
    3. Bikramaditya Ghosh & Spyros Papathanasiou & Georgios Pergeris, 2022. "Did cryptocurrencies exhibit log‐periodic power law signature during the second wave of COVID‐19?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 51(3), November.

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