Empirical fractal geometry analysis of some speculative financial bubbles

Empirical evidence of a multifractal signature during increasing of a financial bubble leading to a crash is presented. The April 2000 crash in the NASDAQ composite index and a time series from the discrete Chakrabarti–Stinchcombe model for earthquakes are analyzed using a geometric approach and some common patterns are identified. These patterns can be related the geometry of the rising period of a financial bubbles with the non-concave entropy problem.

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Year of publication:	2012
Authors:	Redelico, Francisco O. ; Proto, Araceli N.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 391.2012, 21, p. 5132-5138
Publisher:	Elsevier
Subject:	Multifractal analysis \| Econophysics \| Financial markets

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

Persistent link: https://www.econbiz.de/10010589277