Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes

Anders Johansen, Didier Sornette and Olivier Ledoit
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Anders Johansen: UCLA
Didier Sornette: UCLA & CNRS FRANCE
Olivier Ledoit: Anderson Graduate School of Management

Finance from EconWPA

Abstract: We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated crashes from 1929 to 1998 on stock markets as diverse as the US, Hong-Kong or the Russian market and on currencies. To our knowledge, no major financial crash preceded by an extended bubble has occurred in the past 2 decades without exhibiting a similar log-periodic signature

Keywords: bubble; crash; log-periodic; Nikkei; prediction; acceleration; critical (search for similar items in EconPapers)
JEL-codes: G15 C2 (search for similar items in EconPapers)
Date: 1999-03-21
Note: Type of Document - postscript; prepared on Latex; pages: 20 ; figures: 11 fugures included. Submitted to Journal of Risk
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:9903006

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