Empirical fractal geometry analysis of some speculative financial bubbles

被引：7

作者：

Redelico, Francisco O. ^{[1
,2
]}

Proto, Araceli N. ^{[1
]}

机构：

[1] Univ Buenos Aires, Fac Ingn, Buenos Aires, DF, Argentina

[2] Univ Catolica Argentina, Fac Ciencias Fisicomatemat & Ingn, Buenos Aires, DF, Argentina

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2012年 / 391卷 / 21期

关键词：

Multifractal analysis; Econophysics; Financial markets; SELF-ORGANIZED CRITICALITY; PHASE-TRANSITIONS; EARTHQUAKES; DYNAMICS; CRASHES; MODEL;

D O I：

10.1016/j.physa.2012.01.045

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：5132 / 5138

页数：7

共 50 条

[31] ABOUT SOME PROPERTIES OF THE ELECTROCHEMICAL TRANSFER IN FRACTAL GEOMETRY
LEMEHAUTE, A
CREPY, G
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE II, 1982, 294 (12): : 685 - 688
[32] EMPIRICAL ANALYSIS OF SPECULATIVE ATTACKS WITH CONTRACTIONARY REAL EFFECTS
Rueda, Ismael Arciniegas
INTELLIGENT SYSTEMS IN ACCOUNTING FINANCE & MANAGEMENT, 2012, 19 (02): : 102 - 127
[33] An empirical analysis of currency crises, fundamentals and speculative pressure
Gunsel, Nil R.
Tursoy, Turgut
Rjoub, Husam
AFRICAN JOURNAL OF BUSINESS MANAGEMENT, 2010, 4 (06): : 972 - 978
[34] SOME PROBLEMS ON FRACTAL GEOMETRY AND TOPOLOGICAL DYNAMICAL SYSTEMS
Zuoling Zhou Lingnan Collge Sun Yat-sen University Guangzhou
AnalysisinTheoryandApplications, 2009, 25 (01) : 5 - 15
[35] Some Problems on the Boundary of Fractal Geometry and Additive Combinatorics
Hochman, Michael
RECENT DEVELOPMENTS IN FRACTALS AND RELATED FIELDS, 2017, : 129 - 174
[36] Speculative attacks or fundamentals? Empirical evidence from some European currencies
Kurihara, Y
APPLIED ECONOMICS LETTERS, 1999, 6 (10) : 673 - 675
[37] Speculative bubbles in emerging stock markets and macroeconomic factors: A new empirical evidence for Asia and Latin America
Thi Bich Ngoc Tran
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2017, 42 : 454 - 467
[38] The Profitability of Technical Analysis during Financial Bubbles
Arshanapalli, Bala
Lutey, Matthew
Nelson, William
Pollak, Micah
JOURNAL OF PORTFOLIO MANAGEMENT, 2020, 47 (01): : 168 - 175
[39] Fractal dimensions for some increments of the uniform empirical process
Louani, D
Lucas, A
JOURNAL OF THEORETICAL PROBABILITY, 2003, 16 (01) : 59 - 86
[40] Fractal Dimensions for Some Increments of the Uniform Empirical Process
Djamal Louani
Alain Lucas
Journal of Theoretical Probability, 2003, 16 : 59 - 86

← 1 2 3 4 5 →