Abstract:
We find empirically a characteristic sharp peak-flat trough pattern in a large set of commodity prices. We argue that the sharp peak structure reflects an endogenous inter-market organization, and that peaks may be seen as local “singularities” resulting from imitation and herding. These findings impose a novel stringent constraint on the construction of models.
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Received: 2 February 1998 / Revised and accepted: 22 February 1998
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Roehner, B., Sornette, D. The sharp peak-flat trough pattern and critical speculation. Eur. Phys. J. B 4, 387–399 (1998). https://doi.org/10.1007/s100510050394
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DOI: https://doi.org/10.1007/s100510050394