Extracting the exponential behaviors in the market data
arXiv:physics/0608008 · doi:10.1016/j.physa.2007.02.026
Abstract
We introduce a mathematical criterion defining the bubbles or the crashes in financial market price fluctuations by considering exponential fitting of the given data. By applying this criterion we can automatically extract the periods in which bubbles and crashes are identified. From stock market data of so-called the Internet bubbles it is found that the characteristic length of bubble period is about 100 days.
revtex4, 7 pages, 5 figures, proceedings of Apfa5 Conference
References in corpus (6)
- Critical Market Crashes
- Finite-time singularity in the dynamics of the world population, economic and financial indices
- Is There a Real-Estate Bubble in the US?
- Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity
- Finite-Time Singularity Signature of Hyperinflation
- The mechanism of double exponential growth in hyper-inflation