A log-periodic fit for the flash crash of May 6, 2010

Raul Matsushita () and Sergio Da Silva
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Raul Matsushita: University of Brasilia

Economics Bulletin, 2011, vol. 31, issue 2, 1772-1779

Abstract: We show that a two-harmonic log-periodic formula fits the high-frequency data from the Dow Jones Industrial Average index, which encompass the recent episode known as the “flash crash” of May 6, 2010.

Keywords: flash crash; crashes; log-periodicity (search for similar items in EconPapers)
JEL-codes: C6 G1 (search for similar items in EconPapers)
Date: 2011-06-16
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Citations: View citations in EconPapers (3)

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