Log-periodic crashes revisited

Raul Matsushita, Sergio Da Silva, Annibal Figueiredo and Iram Gleria

Physica A: Statistical Mechanics and its Applications, 2006, vol. 364, issue C, 331-335

Abstract: We revisit the finding that crashes can be deterministic and governed by log-periodic formulas [D. Sornette, A. Johansen, Significance of log-periodic precursors to financial crashes, Quant. Finance 1 (2001) 452–471; D. Sornette, W.X. Zhou, The US 2000–2002 market descent: how much longer and deeper?, Quant. Finance 2 (2002) 468–481]. One- and two-harmonic equations are usually employed to fit daily data during bubble episodes. But a three-harmonics has been shown to fit anti-bubbles [A. Johansen, D. Sornette, Financial “anti-bubbles”: log-periodicity in gold and Nikkei collapses, Int. J. Mod. Phys. C 10 (1999) 563–575]. Here we show that the three-harmonic formula can work for bubble episodes as well as anti-bubbles. This is illustrated with daily data from the Brazilian real-US dollar exchange rate. And we also show that the three-harmonics can fit an intraday data set from that foreign exchange rate.

Keywords: Crashes; Exchange rates; Log-periodicity (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (10)

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Working Paper: Log-Periodic Crashes Revisited (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:364:y:2006:i:c:p:331-335

DOI: 10.1016/j.physa.2005.08.051

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