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Visualizing the log-periodic pattern before crashes |
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| Authors: | N. Vandewalle M. Ausloos Ph. Boveroux A. Minguet |
| Affiliation: | (1) Institut de Physique B5, Université de Liège, 4000 Liège, Belgium, BE;(2) Théorie monétaire et finances B31, Faculté d'économie, Gestion et Sciences Sociales, Université de Liège, 4000 Liège, Belgium, BE |
| Abstract: | We present a method for visualizing the pattern which we believe to be a precursor signature of financial crashes (or ruptures). The log-periodicity of the pattern is investigated through the envelope function technique. Three periods of the Dow Jones Industrial Average (DJIA) are investigated: 1982-1987, 1992-1997 and 1993-1998. The presence of a rupture in the end of 1998 is outlined from data taken before the end of August 1998. Received 15 October 1998 and Received in final form 19 November 1998 |
| Keywords: | PACS. 05.40.-a Fluctuation phenomena random processes noise and Brownian motion - 47.53.+n Fractals |
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