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Visualizing the log-periodic pattern before crashes

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The European Physical Journal B - Condensed Matter and Complex Systems Aims and scope Submit manuscript

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.

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Authors and Affiliations

  1. Institut de Physique B5, Université de Liège, 4000 Liège, Belgium, , , , , , BE

    N. Vandewalle & M. Ausloos

  2. Théorie monétaire et finances B31, Faculté d'Économie, Gestion et Sciences Sociales, Université de Liège, 4000 Liège, Belgium, , , , , , BE

    Ph. Boveroux & A. Minguet

Authors
  1. N. Vandewalle
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  2. M. Ausloos
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  3. Ph. Boveroux
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  4. A. Minguet
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Additional information

Received 15 October 1998 and Received in final form 19 November 1998

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Vandewalle, N., Ausloos, M., Boveroux, P. et al. Visualizing the log-periodic pattern before crashes. Eur. Phys. J. B 9, 355–359 (1999). https://doi.org/10.1007/s100510050775

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  • DOI: https://doi.org/10.1007/s100510050775

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