SEARCH FOR LOG-PERIODIC OSCILLATIONS IN STOCK MARKET SIMULATIONS

Ras B. Pandey () and Dietrich Stauffer ()
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Ras B. Pandey: Department of Physics and Astronomy, University of Southern Mississippi, Hattiesburg, MS 39406-5046, USA;
Dietrich Stauffer: Institute for Theoretical Physics, Cologne University, D-50923 Köln, Euroland, Germany

International Journal of Theoretical and Applied Finance (IJTAF), 2000, vol. 03, issue 03, 479-482

Abstract: Using Chowdhury's simplification of the Cont–Bouchaud percolation algorithm, and including inertia (trading momentum) as well as a nonlinear restoring force (pricing pressure), we find spontaneous oscillations, which for suitable parameters have at first an exponentially increasing period. They seem to mimic the approximate log-periodic oscillations found by Johansen and Sornette in the Nikkei index after the burst of the Japanese bubble a decade ago.

Date: 2000
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DOI: 10.1142/S0219024900000437

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