The sharp peak-flat trough pattern and critical speculation

B. M. Roehner and D. Sornette

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Abstract: We find empirically a characteristic sharp peak-flat trough pattern in a large set of commodity prices. We argue that the sharp peak structure reflects an endogenous inter-market organization, and that peaks may be seen as local ``singularities'' resulting from imitation and herding. These findings impose a novel stringent constraint on the construction of models. Intermittent amplification is not sufficient and nonlinear effects seem necessary to account for the observations.

Date: 1998-02
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Citations: View citations in EconPapers (8)

Published in European Physical Journal B 4, 387-399 (1998)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/9802234

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