Empirical fractal geometry analysis of some speculative financial bubbles

Francisco O. Redelico and Araceli N. Proto

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 21, 5132-5138

Abstract: Empirical evidence of a multifractal signature during increasing of a financial bubble leading to a crash is presented. The April 2000 crash in the NASDAQ composite index and a time series from the discrete Chakrabarti–Stinchcombe model for earthquakes are analyzed using a geometric approach and some common patterns are identified. These patterns can be related the geometry of the rising period of a financial bubbles with the non-concave entropy problem.

Keywords: Multifractal analysis; Econophysics; Financial markets (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:21:p:5132-5138

DOI: 10.1016/j.physa.2012.01.045

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