Abstract
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences in fluctuations of foreign exchange currency rates. A brief historical introduction to crashes is given, including recent observations on the DJIA and the S & P500. Daily data of the DAX index are specifically used for illustration. The method for visualizing the pattern thought to be the precursor signature of financial crashes is outlined. The log-periodicity of the pattern is investigated. Comparison of patterns before and after crash days is made through the power spectrum. The corresponding fractal dimension of the signal looks like that of a percolation backbone. Next the fluctuations of exchange rates (XR) of currencies forming EUR with respect to USD are analyzed. The XR power spectra are calculated before and after crashes. A detrended fluctuation analysis is performed. The characteristic exponents Q and a respectively, are compared, including the time dependence of each a, found to be singular near crash dates.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
B. Lauterbach, U. Ben-Zion: J. Finance 48, 1909 (1993)
R. Roll, ‘The International Crash of October 1987’, R. W. Kamphuis et al., eds.: Black Monday and the Future of Financial Markets, ( Dow Jones/Irwin, Homewood, IL, 1989 )
N. Vandewalle, Ph. Boveroux, F. Brisbois: Eur. J. Phys. B 15, 547 (2000)
M. Ausloos, K. Ivanova: ‘Crashes: symptoms, diagnoses and remedies’. In Empirical sciences in financial fluctuations, Tokyo, Japan, Nov. 15-17, 2000 Proceedings ( Springer Verlag, Berlin, 2001 )
D. Sornette, A. Johansen, J.P. Bouchaud: J. Physique. I (France) 6, 167 (1996)
N. Vandewalle, Ph. Boveroux, A. Minguet, M. Ausloos: Physica A 255, 201 (1998)
B.M. Roehner: Eur. Phys. J. B 17, 341 (2000)
http://www.historyhouse.com/stories/tulip.htm
http://www.litrix.com/madraven/madne004.htm
http://www.enlou.com/people/bio-lawj.htm
http://landow.stg.brown.edu/victorian/history/ssbubble.html
http://www.britannica.com/eb/article?eu=70665 & tocid=0
R. Westfall, The Life of Isaac Newton (Cambridge Univ. Press, Cambridge 1994 )
http://mypage.direct.ca/r/rsavill/Thecrash.html
M. Ausloos: Europhysics News 29, 70 (1998)
R. Cont, In Statistical Physics on the Eve of the 21st Century, ed. by M.T. Batchelor, L.T. Wille ( World Scientific, Singapore 1999 ), pp. 47 - 64
B.B. Mandelbrot: J. Business 36, 349 (1963)
R.N. Mantegna, H.E. Stanley: Nature 376, 46 (1995)
J.P. Bouchaud, D. Sornette: J. Phys. I (France) 4, 863 (1994)
E.E. Peters: Fractal Market Analysis: Applying Chaos Theory to Investment and Economics ( Wiley Finance Editions, New York 1994 )
E.E. Peters: Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility ( Wiley Finance Editions, New York 1996 )
R.N. Mantegna, H.E. Stanley: An Introduction to Econophysics ( Cambridge University Press, Cambridge 2000 )
J. Voit: The Statistical Mechanics of Financial Markets, ( Springer Verlag, Berlin 2001 )
H.E. Stanley: Phase Transitions and Critical Phenomena ( Clarendon Press, London 1971 )
D. Sornette, A. Johansen, J.P. Bouchaud: J. Phys. I (France) 6, 167 (1996)
J.A. Feigenbaum, P.G.O. Freund: Int. J. Mod. Phys. B 10, 3737 (1996)
D. Sornette, A. Johansen: Quantitative Finance 1 452 (2001)
J.A. Feigenbaum: Quantitative Finance 1 346 (2001)
D. Sornette: Phys. Rep. 297, 239 (1998)
J.C. Anifrani, C. Le Floc’h, D. Sornette, B.Souillard: J. Phys. I (France) 5, 631 (1995)
A. Johansen, D. Sornette, H. Wakita, U. Tsunogai, W.I. Newman, H. Saleur: J. Phys. I (France) 6, 1391 (1996)
D. Stauffer, D. Sornette: Physica A 252, 271 (1998)
H. Dupuis: Trends/Tendances 22 (38), 26 (1997)
G. Legrand: Cash 4 (38), 3 (1997)
D. Daoût: Le Vif, L’Express xx, 124 (1997)
N. Vandewalle, M. Ausloos: Eur. J. Phys. B 4, 139 (1998)
H. Dupuis: Trends/Tendances 22 (44), 11 (1997)
G. Legrand: Cash 4 (44), 3 (1997)
J.P. Bouchaud, P. Cizeau, L. Laloux, M. Potters: Physics World 12, 25 (1999)
L. Laloux, M. Potters, R. Cont, J.P. Aguilar, J.P. Bouchaud: Europhys. Lett. 45, 1 (1999)
F. Brisbois, P. Boveroux, M. Ausloos, N. Vandewalle: Int. J. Theor. Appl. Finance 3, 423 (2000)
N. Vandewalle, M. Ausloos, P. Boveroux, A. Minguet: Eur. J. Phys. B 9, 355 (1999)
M. Ausloos: Physica A 285, 48 (2000)
M. Ausloos, N. Vandewalle, K. Ivanova: ‘Time is Money’. In: Noise, Oscillators and Algebraic Randomness ed. by M. Planat, (Springer, Berlin, 2000) pp. 156171
W.H. Press, B P Flannery, S.A. Teukolsky, W.T. Vetterling, Numerical Recipes — the Art of Scientific Computing 2nd edition, ( Cambridge University Press, Cambridge 1992 )
R.N. Mantegna: Eur. J. Phys. B 11, 193 (1999)
J.A. Feigenbaum, P.G.O. Freund: Mod. Phys. Lett. B 12, 57 (1998)
B.M. Roehner: Eur. J. Phys. B 14, 395 (2000)
A. Johansen, D. Sornette: Int. J. Mod. Phys. C 10, 563 (1999)
D. Stauffer, R.B. Pandey: Int. J. Theor. Appl. Finance 3, 479 (2000)
A. Johansen, D. Sornette: Eur. J. Phys. B 17, 319 (2000)
M. Schroeder: Fractals, Chaos, Power Laws ( Freeman, New York 1991 )
B.J. West, B. Deering: The Lure of Modern Science: Fractal Thinking ( World Scientific, Singapore 1995 )
M. Ausloos: ‘Financial Time Series and Statistical Mechanics’. In Vom Billardtisch bis Monte Carlo - Spielfelder der Statistischen Physik, ed. by K. H. Hoffmann and M. Schreiber, ( Springer, Berlin 2001 )
L.A.N. Amaral, S.V. Buldyrev, S. Havlin, H. Leschhorn, P. Maass, M.A. Salinger, H.E. Stanley, M.H.R. Stanley: J. Phys. I France 7, 621 (1997)
V.V. Gafiychuk, I.A. Lubashevsky, Y.L. Klimontovich: Complex Systems 12, 103 (2000)
N. Vandewalle, M.Ausloos: Phys. Rev. E 55, 94 (1997)
N. Vandewalle, R. D’hulst, M. Ausloos: Phys. Rev. E 59, 631 (1999)
P. Bak: How Nature Works, ( Copernicus, New York 1996 )
C.K. Peng, S.V. Buldyrev, S. Havlin, M. Simmons, H.E. Stanley, A.L. Goldberger: Phys. Rev. E 49, 1685 (1994)
N. Vandewalle, M. Ausloos: Int. J. Comput. Anticipat. Syst. 1, 342 (1998)
K. Hu, P.C. Ivanov, Z. Chen, P. Carpena, H.E. Stanley: private communication http: //arXiv.:physics/0103018
http://pacific.commerce.ubc.ca/xr/data.html
M. Ausloos, K. Ivanova: Physica A 286, 353 (2000)
M. Ausloos, K. Ivanova: Eur. Phys. J. B 20, 537 (2001)
K. Ivanova, M. Ausloos: ‘False EUR Exchange Rates vs. DKK, CHF, JPY and USD. What is a strong currency?’. In: Empirical sciences in financial fluctuations, Tokyo, Japan, Nov. 15-17, 2000 Proceedings ( Springer Verlag, Berlin, 2001 )
M. Ausloos, K. Ivanova: Int. J. Mod. Phys. C 12, 169 (2001)
N. Vandewalle, M. Ausloos: Physica A 246, 454 (1997)
N. Vandewalle, M. Ausloos: Int. J. Mod. Phys. C 9, 711 (1998)
K. Ivanova, M. Ausloos: unpublished
M. Ausloos, N. Vandewalle: unpublished
R. Friedrich, J. Peincke, Ch. Renner: Phys. Rev. Lett. 84, 5224 (2000)
K. Ivanova, M. Ausloos: Eur. Phys. J. B 8, 665 (1999); Err. 12, 613 (1999)
P. Hartmann: Currency Competition and Foreign Exchange Markets. The Dollar, the Yen and the Euro (Cambridge Univ. Press, Cambridge 1998 )
http://lowrisk.com/crash/crashcharts.htm;http://lowrisk.com/crash/87vs97.htm;http://lowrisk.com/crash/1929crash.htm
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2004 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Ausloos, M., Ivanova, K. (2004). Patterns, Trends and Predictions in Stock Market Indices and Foreign Currency Exchange Rates. In: Wille, L.T. (eds) New Directions in Statistical Physics. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-08968-2_6
Download citation
DOI: https://doi.org/10.1007/978-3-662-08968-2_6
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-07739-5
Online ISBN: 978-3-662-08968-2
eBook Packages: Springer Book Archive