Empirical fractal geometry analysis of some speculative financial bubbles

REDELICO, FRANCISCO O.; PROTO, ARACELI N.

PHYSICA A - STATISTICAL AND THEORETICAL PHYSICS

ELSEVIER SCIENCE BV

Año: 2012 vol. 391 p. 5132 - 5138

0378-4371

Empirical evidence of a multifractal signature during increasing of a financial bubble leading to a crash is presented. The April 2000 crash in the NASDAQ composite index and a time series from the discrete Chakrabarti- Stinchcombe model for earthquakes are analyzed using a geometric approach and some common patterns are identified. These patterns can be related the geometry of the rising period of a financial bubbles with the non-concave entropy problem. © 2012 Elsevier B.V. All rights reserved.