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Another type of log-periodic oscillations on Polish stock market?

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  • Piotr Gnacinski
  • Danuta Makowiec

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 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.

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  • Piotr Gnacinski & Danuta Makowiec, 2003. "Another type of log-periodic oscillations on Polish stock market?," Papers cond-mat/0307323, arXiv.org, revised Aug 2003.
    • Handle: RePEc:arx:papers:cond-mat/0307323
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    References listed on IDEAS

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    1. Sornette, Didier & Johansen, Anders, 1997. "Large financial crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 411-422.
    2. A. Johansen & D. Sornette, 1999. "Financial "Anti-Bubbles": Log-Periodicity In Gold And Nikkei Collapses," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 563-575.
    3. A. Johansen & D. Sornette, 1999. "Financial ``Anti-Bubbles'': Log-Periodicity in Gold and Nikkei collapses," Papers cond-mat/9901268, arXiv.org.
    4. Anders Johansen & Didier Sornette, 2000. "The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash," Papers cond-mat/0004263, arXiv.org, revised May 2000.
    5. Anders Johansen & Didier Sornette, 2001. "Bubbles And Anti-Bubbles In Latin-American, Asian And Western Stock Markets: An Empirical Study," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(06), pages 853-920.
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    1. Zhou, Wei-Xing & Sornette, Didier, 2003. "Evidence of a worldwide stock market log-periodic anti-bubble since mid-2000," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 330(3), pages 543-583.

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