- Tytuł:
- Fractals, Log-Periodicity and Financial Crashes
- Autorzy:
-
Oświęcimka, P.
Drożdż, S.
Kwapień, J.
Górski, A. - Powiązania:
- https://bibliotekanauki.pl/articles/1538497.pdf
- Data publikacji:
- 2010-04
- Wydawca:
- Polska Akademia Nauk. Instytut Fizyki PAN
- Tematy:
-
52.35.Mw
05.45.Df
05.70.Jk - Opis:
- Presence of self-similar patterns in the financial dynamics is by now well established and even convincingly quantified within the multifractal formalism. Here we focus attention on one particular aspect of this self-similarity which potentially is related to the discrete-scale invariance underlying the system composition and manifests itself by the log-periodic oscillations cascading self-similarly through various time scales. Such oscillations accumulate at the turning (critical) points that in the financial dynamics are often identified as crashes. This property thus allows us to develop a methodology that may be useful also for prediction. A model Weierstrass-type function is used to illustrate the relevant effects and several examples demonstrating that such effects in the real financial markets take place indeed, are reviewed.
- Źródło:
-
Acta Physica Polonica A; 2010, 117, 4; 637-639
0587-4246
1898-794X - Pojawia się w:
- Acta Physica Polonica A
- Dostawca treści:
- Biblioteka Nauki
Artykuł