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Self-Similar Log-Periodic Structures in Western Stock Markets from 2000

M. Bartolozzi·S. Drozdz·D. B. Leinweber·J. Speth·A. W. Thomas
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Abstract

The presence of log-periodic structures before and after stock market crashes is considered to be an imprint of an intrinsic discrete scale invariance (DSI) in this complex system. The fractal framework of the theory leaves open the possibility of observing self-similar log-periodic structures at different time scales. In the present work we analyze the daily closures of three of the most important indices worldwide since 2000: the DAX for Germany and the Nasdaq100 and the S&P500 for the United States. The qualitative behaviour of these different markets is similar during the temporal frame studied. Evidence is found for decelerating log-periodic oscillations of duration about two years and starting in September 2000. Moreover, a nested sub-structure starting in May 2002 is revealed, bringing more evidence to support the hypothesis of self-similar, log-periodic behavior. Ongoing log-periodic oscillations are also revealed. A Lomb analysis over the aforementioned periods indicates a preferential scaling factor $λ\sim 2$. Higher order harmonics are also present. The spectral pattern of the data has been found to be similar to that of a Weierstrass-type function, used as a prototype of a log-periodic fractal function.

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M. Bartolozzi, S. Drozdz, D. B. Leinweber, J. Speth, A. W. Thomas. 2005-03-12. Self-Similar Log-Periodic Structures in Western Stock Markets from 2000. https://doi.org/10.1142/s0129183105007972

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