Extracting the exponential behaviors in the market data

Kota Watanabe; Hideki Takayasu; Misako Takayasu

doi:10.1016/j.physa.2007.02.026

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Extracting the exponential behaviors in the market data

Kota Watanabe·Hideki Takayasu·Misako Takayasu

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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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Kota Watanabe, Hideki Takayasu, Misako Takayasu. 2006-08-01. Extracting the exponential behaviors in the market data. https://doi.org/10.1016/j.physa.2007.02.026

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