The sharp peak-flat trough pattern and critical speculation
arXiv:cond-mat/9802234 · doi:10.1007/s100510050394
Abstract
We find empirically a characteristic sharp peak-flat trough pattern in a large set of commodity prices. We argue that the sharp peak structure reflects an endogenous inter-market organization, and that peaks may be seen as local ``singularities'' resulting from imitation and herding. These findings impose a novel stringent constraint on the construction of models. Intermittent amplification is not sufficient and nonlinear effects seem necessary to account for the observations.
20 pages, 6 figures (only fig.4 and 6 available in ps format), 3 tables, European Physical Journal B (in press)
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