Predicting critical crashes? A new restriction for the free variables

Hans-Christian Graf v. Bothmer and Christian Meister

Physica A: Statistical Mechanics and its Applications, 2003, vol. 320, issue C, 539-547

Abstract: Several authors have noticed the signature of log-periodic oscillations prior to large stock market crashes. Unfortunately, the prediction of crashes with this method is difficult, since good fits of the corresponding log-periodic equation to stock market prices are also observed in quiet times.

Keywords: Financial markets; Bubbles; Crash; Hazard rate; Log-periodicity (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (37)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:320:y:2003:i:c:p:539-547

DOI: 10.1016/S0378-4371(02)01535-2

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