A mathematical definition of the financial bubbles and crashes

Kota Watanabe, Hideki Takayasu and Misako Takayasu

Physica A: Statistical Mechanics and its Applications, 2007, vol. 383, issue 1, 120-124

Abstract: We check the validity of the mathematical method of detecting financial bubbles or crashes, which is based on a data fitting with an exponential function. We show that the period of a bubble can be determined nearly uniquely independent of the precision of data. The method is widely applicable for stock market data such as the Internet bubble.

Keywords: Financial market; Bubble; Crash (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:383:y:2007:i:1:p:120-124

DOI: 10.1016/j.physa.2007.04.093

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