A mathematical definition of the financial bubbles and crashes

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.

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Year of publication:	2007
Authors:	Watanabe, Kota ; Takayasu, Hideki ; Takayasu, Misako
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 383.2007, 1, p. 120-124
Publisher:	Elsevier
Subject:	Financial market \| Bubble \| Crash

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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