Application with Implications of Log-Periodic Trends to Financial Bubbles:A Case for Econoplysics
 |
International Journal of Engineering Trends and Technology (IJETT) |  |
| © 2019 by IJETT Journal | ||
| Volume-67 Issue-5 |
||
| Year of Publication : 2019 | ||
| Authors : Debasis Patnaik, U Siddharth |
||
| DOI : 10.14445/22315381/IJETT-V67I5P218 |
Citation
MLA Style: Debasis Patnaik, U Siddharth "Application with Implications of Log-Periodic Trends to Financial Bubbles:A Case for Econoplysics" International Journal of Engineering Trends and Technology 67.5 (2019):115-123.
APA Style: Debasis Patnaik, U Siddharth (2019). Application with Implications of Log-Periodic Trends to Financial Bubbles:A Case for Econoplysics International Journal of Engineering Trends and Technology,67(5),115-123.
Abstract
This paper attempts to understand the phenomenon of market crashes in BSE India. This involves the identification of its causes, mechanism, properties that the market exhibits as well as the identification of the market indicators and its success in the predetermination of market crashes. An analysis on the time series data of the Bombay Stock Exchange is also tested for log-periodic trends to assess market stability.
Reference
[1] A. Johansen and D. Sornette, “Significance of log-periodic precursors to financial crashes”, Institute of Geophysics and Planetary Physics and Department of Earth and Space Science, , June 26 2001, http://arxiv.org/abs/cond-mat/0106520
[2] Johansen and D. Sornette, “Critical Crashes”, Institute of Geophysics and Planetary Physics University of California, Los Angeles, California
[3] Wei-Xing Zhou, Didier Sornette, “Testing the Stability of the 2000 US Stock Market “Antibubble”, 16 May 2006, http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6TVG-4DNW4RF-4&_user=1556284&_rdoc=1&_fmt=&_orig=search&_sort=d&view=c&_acct=C000053686&_version=1&_urlVersion=0&_userid=1556284&md5=ed187af73505426f1e74c99a56564732
[4] Didier Sornette and Wei-Xing Zhou,” The US 2000-2002 Market Descent: How Much Longer and Deeper?”, 3 September 2002, http://arxiv.org/abs/cond-mat/0209065
[5] James A. Feigenbaum and Peter G.O. Freund, “Discrete Scale Invariance and the “Second Black Monday””, October 1997, http://adsabs.harvard.edu/abs/1997cond.mat.10324F
[6] S. Drozdz, F. Grummer, F. Ruf, J. Speth “Log-Periodic self similarity: and emerging financial law”, 12 January 2008, http://arxiv.org/abs/cond-mat/0209591
[7] Thomas Lux, “Applications Of Statistical Physics In Finance And Economics”, Department of Economics University of Kiel, Germany, June 22 2006, http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/wpaperseries/wf06-256.pdf
[8] Zinn-Justin, Jean ; “Quantum Field Theory and Critical Phenomena”, Oxford University Press (2002), accessed using Google Books
[9] Didier Sornette, “Prediction : The Future of the USA Stock Market”, 24 November 2003, http://www.safehaven.com/article-934.htm
[10] A. Johansen and D. Sornette, “Financial “Anti-Bubbles”: Log-Periodicity in Gold and Nikkei collapses”, 22 May 2006, arxiv.org/abs/cond-mat/9901268
[11] J. Voit, “The Statistical Mechanics of Financial Markets”, Third Edition, Section 9.4, Springer
[12] James A. Feigenbaum and Peter G.O. Freund, “Discrete Scaling in Stock Markets Before Crashes”, 6th September 1995
[13] Didier Sornette, Anders Johansen and Jean-Philippe Bouchaud, “Stock market crashes, Precursors and Replicas”, 6th October 1995
[14] Didier Sornette, Anders Johansen, “The NASDAQ crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash”, May 8th 2000
[15] For obtaining data regarding the Bombay Stock Exchange this site was used http://www.bseindia.com/histdata/hindices.asp
[16] S. Drozdz, F. Gr¨ummer, F. Ruf, J. Speth, “Log-periodic self-similarity: an emerging financial law?”, 26 September 2002
Keywords
Log periodic, bubbles, anti bubbles, econophysics, BSE-India, Time series.