Predicting Financial Crashes Using Discrete Scale Invariance

Journal of Risk, Vol. 1, 1999

Posted: 28 Apr 2000

See all articles by Anders Johansen

Anders Johansen

Riso National Laboratory - Wind Energy Department; University of Copenhagen, Niels Bohr. Inst.; University of California, Los Angeles (UCLA) - Institute of Geophysics and Planetary Physics

Didier Sornette

Risks-X, Southern University of Science and Technology (SUSTech); Swiss Finance Institute; ETH Zürich - Department of Management, Technology, and Economics (D-MTEC); Tokyo Institute of Technology

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

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

Anders Johansen (Contact Author)

Riso National Laboratory - Wind Energy Department ( email )

Frederiksborgvej 399 Build. 118
P.O. 49
DK-4000 Roskilde
Denmark
+45 4677 5004 (Phone)
+45 4677 5083 (Fax)

HOME PAGE: http://www.risoe.dk/vea/staff/andj/

University of Copenhagen, Niels Bohr. Inst. ( email )

Blegdamsvej 17
DK-2100 Copenhagen
Denmark

University of California, Los Angeles (UCLA) - Institute of Geophysics and Planetary Physics ( email )

Box 951567
Los Angeles, CA 90095-1567
United States
(310) 825 0961 (Phone)
(310) 206 3051 (Fax)

Didier Sornette

Risks-X, Southern University of Science and Technology (SUSTech) ( email )

1088 Xueyuan Avenue
Shenzhen, Guangdong 518055
China

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) ( email )

Scheuchzerstrasse 7
Zurich, ZURICH CH-8092
Switzerland
41446328917 (Phone)
41446321914 (Fax)

HOME PAGE: http://www.er.ethz.ch/

Tokyo Institute of Technology ( email )

2-12-1 O-okayama, Meguro-ku
Tokyo 152-8550, 52-8552
Japan

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
1,292
PlumX Metrics