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A log-periodic fit for the flash crash of May 6, 2010

Author

Listed:
  • Raul Matsushita

    (University of Brasilia)

  • Sergio Da Silva

    (Federal University of Santa Catarina)

Abstract

We show that a two-harmonic log-periodic formula fits the high-frequency data from the Dow Jones Industrial Average index, which encompass the recent episode known as the “flash crash” of May 6, 2010.

Suggested Citation

  • Raul Matsushita & Sergio Da Silva, 2011. "A log-periodic fit for the flash crash of May 6, 2010," Economics Bulletin, AccessEcon, vol. 31(2), pages 1772-1779.
    • Handle: RePEc:ebl:ecbull:eb-11-00412
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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P162.pdf
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    Citations

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    Cited by:

    1. Da Silva, Sergio, 2014. "Why Not Use Robots to Stabilize Stock Markets?," MPRA Paper 60567, University Library of Munich, Germany.
    2. Matsushita, Raul & Figueiredo, Annibal & Da Silva, Sergio, 2012. "A suggested statistical test for measuring bivariate nonlinear dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4891-4898.
    3. Demos, Guilherme & Da Silva, Sergio & Matsushita, Raul, 2015. "Some Statistical Properties of the Mini Flash Crashes," MPRA Paper 65473, University Library of Munich, Germany.

    More about this item

    Keywords

    flash crash; crashes; log-periodicity;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

    Statistics

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