Extracting the exponential behaviors in the market data

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.

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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. 382.2007, 1, p. 336-339
Publisher:	Elsevier
Subject:	Exponential behaviors \| Bubble \| Crash \| Financial market price fluctuation

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

Persistent link: https://www.econbiz.de/10010873304