Extracting the exponential behaviors in the market data

Kota Watanabe, Hideki Takayasu and Misako Takayasu

Papers from arXiv.org

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.

Date: 2006-08
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/physics/0608008 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0608008

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().