dorsal/arxiv
View SchemaExtracting the exponential behaviors in the market data
| Authors | Kota Watanabe, Hideki Takayasu, Misako Takayasu |
|---|---|
| Categories | |
| ArXiv ID | physics/0608008 |
| URL | https://arxiv.org/abs/physics/0608008 |
| DOI | 10.1016/j.physa.2007.02.026 |
Abstract
We introduce a mathematical criterion defining the bubbles or the crashes in financial market price fluctuations by considering exponential fitting of the given data. By applying this criterion we can automatically extract the periods in which bubbles and crashes are identified. From stock market data of so-called the Internet bubbles it is found that the characteristic length of bubble period is about 100 days.
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"abstract": "We introduce a mathematical criterion defining the bubbles or the crashes in\nfinancial market price fluctuations by considering exponential fitting of the\ngiven data. By applying this criterion we can automatically extract the periods\nin which bubbles and crashes are identified. From stock market data of\nso-called the Internet bubbles it is found that the characteristic length of\nbubble period is about 100 days.",
"arxiv_id": "physics/0608008",
"authors": [
"Kota Watanabe",
"Hideki Takayasu",
"Misako Takayasu"
],
"categories": [
"physics.soc-ph",
"physics.data-an",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2007.02.026",
"title": "Extracting the exponential behaviors in the market data",
"url": "https://arxiv.org/abs/physics/0608008"
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