Patterns, Trends and Predictions in stock market indices and foreign currency exchange rates

M. Ausloos; K. Ivanova

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arXiv · cond-mat/0108013

Patterns, Trends and Predictions in stock market indices and foreign currency exchange rates

M. Ausloos·K. Ivanova

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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 $β$ and $α$ respectively, are compared, including the time dependence of each $α$, found to be singular near crash dates.

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M. Ausloos, K. Ivanova. 2001-08-01. Patterns, Trends and Predictions in stock market indices and foreign currency exchange rates. https://arxiv.org/abs/cond-mat/0108013

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