Fractal geometry of prior-to-crash market situations: The NASDAQ100 April 2000 crash case

REDELICO, FRANCISCO; PIACQUADIO, MARÍA

Journal of Physics: Conference Series

IOP Publishing

Año: 2010 p. 1 - 8

1742-6596

The search for laws governing the occurrence of financial crashes is one of the most important activities in the field of econophysics. In this contribution the daily fluctuation of the price at the close time series before the April 2000 crash NASDAQ100 is analyzed using fractal geometry, two multifractal spectra are derived and a new instability index is presented in order to enlighten the results obtained within these spectra. Using these methods, empirical evidence of the usefullness of the discrete Chakrabarti-Stinchcombre model for earthquakes to describing the rising part of a speculative buble leading a crash is found.