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Another type of log-periodic oscillations on Polish stock market

Author

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  • Gnaciński, Piotr
  • Makowiec, Danuta

Abstract

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 oscillations accompany a rising market and end in a crash. The second type oscillations, called “anti-bubbles” appear after a crash, when the prices decrease.

Suggested Citation

  • Gnaciński, Piotr & Makowiec, Danuta, 2004. "Another type of log-periodic oscillations on Polish stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 322-325.
    • Handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:322-325
    DOI: 10.1016/j.physa.2004.06.143
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    Citations

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    Cited by:

    1. Cajueiro, Daniel O. & Tabak, Benjamin M. & Werneck, Filipe K., 2009. "Can we predict crashes? The case of the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1603-1609.
    2. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    3. Yan, Wanfeng & Woodard, Ryan & Sornette, Didier, 2012. "Diagnosis and prediction of rebounds in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1361-1380.
    4. Sornette, Didier & Woodard, Ryan & Yan, Wanfeng & Zhou, Wei-Xing, 2013. "Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4417-4428.
    5. Xiufeng Yan, 2021. "Multiplicative Component GARCH Model of Intraday Volatility," Papers 2111.02376, arXiv.org.
    6. Zhou, Wei-Xing & Sornette, Didier, 2005. "Testing the stability of the 2000 US stock market “antibubble”," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 428-452.
    7. Filimonov, V. & Sornette, D., 2013. "A stable and robust calibration scheme of the log-periodic power law model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3698-3707.

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