Predicting Financial Crashes Using Discrete Scale Invariance
Journal of Risk, Vol. 1, 1999
Posted: 28 Apr 2000
Abstract
We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated crashes from 1929 to 1998 on stock markets as diverse as the US, Hong-Kong or the Russian market and on currencies. To our knowledge, no major financial crash preceded by an extended bubble has occurred in the past 2 decades without exhibiting such log-periodic signatures.
JEL Classification: C2, G15
Suggested Citation: Suggested Citation
Johansen, Anders and Sornette, Didier, Predicting Financial Crashes Using Discrete Scale Invariance. Journal of Risk, Vol. 1, 1999, Available at SSRN: https://ssrn.com/abstract=212648
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