NDLI: Imprints of log-periodic self-similarity in the stock market

Content Provider	Springer Nature Link
Author	Drozdz, S. Ruf, F. Speth, J. Wójcik, M.
Copyright Year	1999
Abstract	Detailed analysis of the log-periodic structures as precursors of the financial crashes is presented. The study is mainly based on the German Stock Index (DAX) variation over the 1998 period which includes both, a spectacular boom and a large decline, in magnitude only comparable to the so-called Black Monday of October 1987. The present example provides further arguments in favour of a discrete scale-invariance governing the dynamics of the stock market. A related clear log-periodic structure prior to the crash and consistent with its onset extends over the period of a few months. Furthermore, on smaller time-scales the data seems to indicate the appearance of analogous log-periodic oscillations as precursors of the smaller, intermediate decreases. Even the frequencies of such oscillations are similar on various levels of resolution. The related value $$\lambda \approx 2$$ of preferred scaling ratios is amazingly consistent with those found for a wide variety of other complex systems. Similar analysis of the major American indices between September 1998 and February 1999 also provides some evidence supporting this concept but, at the same time, illustrates a possible splitting of the dynamics that a large market may experience.
Starting Page	589
Ending Page	593
Page Count	5
File Format	PDF
ISSN	14346028
Journal	The European Physical Journal B
Volume Number	10
Issue Number	3
e-ISSN	14346036
Language	English
Publisher	EDP Sciences
Publisher Date	1999-08-01
Publisher Place	Les Ulis
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Condensed Matter Physics Physics Statistical Physics, Dynamical Systems and Complexity Fluid- and Aerodynamics Solid State Physics
Content Type	Text
Resource Type	Article
Subject	Electronic, Optical and Magnetic Materials Condensed Matter Physics

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