A log-periodic fit for the flash crash of May 6, 2010

We show that a two-harmonic log-periodic formula fits the high-frequency data from the Dow Jones Industrial Average index, which encompass the recent episode known as the â€œflash crashâ€ of May 6, 2010.

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Year of publication:	2011
Authors:	Matsushita, Raul ; Silva, Sergio Da
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 31.2011, 2, p. 1772-1779
Publisher:	AccessEcon
Subject:	flash crash \| crashes \| log-periodicity

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Extent:	application/pdf
Type of publication:	Article
Classification:	G1 - General Financial Markets ; C6 - Mathematical Methods and Programming
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009147370