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
收藏
页码：5132 / 5138
页数：7
相关论文
共 50 条
  • [41] Rational speculative bubbles in the gold futures market: An application of dynamic factor analysis
    Bertus, M
    Stanhouse, B
    JOURNAL OF FUTURES MARKETS, 2001, 21 (01) : 79 - 108
  • [42] FINANCIAL BEHAVIOR OF HOUSEHOLDS - SOME EMPIRICAL ESTIMATES
    HENDERSHOTT, PH
    LEMMON, RC
    JOURNAL OF FINANCE, 1975, 30 (03): : 733 - 759
  • [43] Analysis of Fractal Geometry in the Maqeli Tiled Spandrel of the
    Reisi, Keyhane
    Zakariaee, Iman
    Jokar, Jalil
    Najarpoor, Samad
    BAGH-E NAZAR, 2024, 21 (135): : 57 - 68
  • [44] On the Fractal Geometry of DNA by the Binary Image Analysis
    Cattani, Carlo
    Pierro, Gaetano
    BULLETIN OF MATHEMATICAL BIOLOGY, 2013, 75 (09) : 1544 - 1570
  • [45] Fractal geometry applied to the analysis of cervix biopsy
    Oswaldo Rodriguez-Velasquez, Javier
    Andres Barrios-Arroyave, Freddy
    Catalina Correa-Herrera, Sandra
    Evelio Grisales-Gutierrez, Carlos
    Esperanza Prieto-Bohorquez, Signed
    Javier Jattin-Balcazar, Jairo
    Jairo Ruiz-Morales, Jhon
    DIAGNOSTIC CYTOPATHOLOGY, 2021, 49 (08) : 938 - 943
  • [46] On the Fractal Geometry of DNA by the Binary Image Analysis
    Carlo Cattani
    Gaetano Pierro
    Bulletin of Mathematical Biology, 2013, 75 : 1544 - 1570
  • [47] The application of fractal geometry analysis to groundwater exploration
    Kusumayudha, SB
    RESEARCH BASINS AND HYDROLOGICAL PLANNING, 2004, : 207 - 213
  • [48] The analysis of leaf shape using fractal geometry
    Hartvigsen, G
    AMERICAN BIOLOGY TEACHER, 2000, 62 (09): : 664 - 669
  • [49] Fractal geometry for medical signal analysis: A review
    Lopes, R.
    Dubois, P.
    Bhouri, I.
    Akkari-Bettaieb, H.
    Maouche, S.
    Betrouni, N.
    IRBM, 2010, 31 (04) : 189 - 208
  • [50] COVERED INTEREST PARITY AND SPECULATIVE EFFICIENCY - SOME EMPIRICAL-EVIDENCE FOR AUSTRALIA
    TURNOVSKY, SJ
    BALL, KM
    ECONOMIC RECORD, 1983, 59 (166) : 271 - 280
12345