Time series of stock price and of two fractal overlap: Anticipating market crashes?

Bikas K. Chakrabarti (), Arnab Chatterjee () and Pratip Bhattacharyya ()
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Bikas K. Chakrabarti: Saha Institute of Nuclear Physics
Arnab Chatterjee: Saha Institute of Nuclear Physics
Pratip Bhattacharyya: Saha Institute of Nuclear Physics

A chapter in Practical Fruits of Econophysics, 2006, pp 107-110 from Springer

Abstract: 3 Summary The features of the time series for the overlap of two Cantor sets when one set moves with uniform relative velocity over the other looks somewhat similar to the time series of stock prices. We analyze both and explore the possibilities of anticipating a large (change in Cantor set) overlap or a large change in stock price. An anticipation method for some of the crashes has been proposed here, based on these observations.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_18

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DOI: 10.1007/4-431-28915-1_18

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