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
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