2003/07/31 by P. Gnaciński, Piotr Gnacinski, Danuta Makowiec · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #cond-mat.stat-mech #q-fin.ST
paper · pdf · doi:10.1016/j.physa.2004.06.143
10 pages (6 figures): conference APFA4 (Warsaw, November 2003)
arxiv created 2003/08/01 · openalex publication_date 2004/07/22 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/29
Log-periodic oscillations have been used to predict price trends and crashes on financial markets. So far two types of log-periodic oscillations have been associated with the real markets. The first type are oscillations which accompany a rising market and which ends in a crash. The second type oscillations, called "anti-bubbles" appear after a crash, when the prices decreases. Here, we propose the third type of log-periodic oscillations, where a exogenous crash initializes a log-periodic behavior of market, and the market is growing up. Such behavior has been identified on Polish stock market index between the "Russian crisis" (August 1998) and the "New Economy crash" in April 2000.