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Search For Log-Periodic Oscillations In Stock Market Simulations

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  • RAS B. PANDEY

    (Department of Physics and Astronomy, University of Southern Mississippi, Hattiesburg, MS 39406-5046, USA;
    Institute for Theoretical Physics, Cologne University, D-50923 Köln, Euroland, Germany)

  • DIETRICH STAUFFER

    (Institute for Theoretical Physics, Cologne University, D-50923 Köln, Euroland, Germany)

Abstract

Using Chowdhury's simplification of the Cont–Bouchaud percolation algorithm, and including inertia (trading momentum) as well as a nonlinear restoring force (pricing pressure), we find spontaneous oscillations, which for suitable parameters have at first an exponentially increasing period. They seem to mimic the approximate log-periodic oscillations found by Johansen and Sornette in the Nikkei index after the burst of the Japanese bubble a decade ago.

Suggested Citation

  • Ras B. Pandey & Dietrich Stauffer, 2000. "Search For Log-Periodic Oscillations In Stock Market Simulations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 479-482.
    • Handle: RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000437
    DOI: 10.1142/S0219024900000437
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    Cited by:

    1. M. Ausloos & K. Ivanova & N. Vandewalle, 2001. "Crashes : symptoms, diagnoses and remedies," Papers cond-mat/0104127, arXiv.org, revised Apr 2001.
    2. Clark, Andrew, 2004. "Evidence of log-periodicity in corporate bond spreads," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 338(3), pages 585-595.
    3. Marcel Ausloos, 2013. "Econophysics: Comments on a Few Applications, Successes, Methods and Models," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 101-115, July.
    4. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.

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