Extracting the exponential behaviors in the market data

Kota Watanabe, Hideki Takayasu and Misako Takayasu

Physica A: Statistical Mechanics and its Applications, 2007, vol. 382, issue 1, 336-339

Abstract: We introduce a mathematical criterion defining the bubbles or the crashes in financial market price fluctuations by considering exponential fitting of the given data. By applying this criterion we can automatically extract the periods in which bubbles and crashes are identified. From stock market data of so-called the Internet bubbles it is found that the characteristic length of bubble period is about 100 days.

Keywords: Exponential behaviors; Bubble; Crash; Financial market price fluctuation (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:382:y:2007:i:1:p:336-339

DOI: 10.1016/j.physa.2007.02.026

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