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2010 | 117 | 4 | 637-639
Article title

Fractals, Log-Periodicity and Financial Crashes

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EN
Abstracts
EN
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.
Keywords
EN
Contributors
  • Institute of Nuclear Physics, Polish Academy of Sciences, E. Radzikowskiego 152, PL-31-342 Kraków, Poland
author
  • Institute of Nuclear Physics, Polish Academy of Sciences, E. Radzikowskiego 152, PL-31-342 Kraków, Poland
  • Faculty of Mathematics and Natural Sciences, University of Rzeszów, PL-35-310, Rzeszów, Poland
author
  • Institute of Nuclear Physics, Polish Academy of Sciences, E. Radzikowskiego 152, PL-31-342 Kraków, Poland
author
  • Institute of Nuclear Physics, Polish Academy of Sciences, E. Radzikowskiego 152, PL-31-342 Kraków, Poland
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv117n455kz
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