Predicting Financial Crashes Using Discrete Scale Invariance

Anders Johansen; Didier Sornette; Olivier Ledoit

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Predicting Financial Crashes Using Discrete Scale Invariance

Anders Johansen·Didier Sornette·Olivier Ledoit

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Abstract

We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated crashes from 1929 to 1998 on stock markets as diverse as the US, Hong-Kong or the Russian market and on currencies. To our knowledge, no major financial crash preceded by an extended bubble has occurred in the past 2 decades without exhibiting such log-periodic signatures.

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Anders Johansen, Didier Sornette, Olivier Ledoit. 1999-06-08. Predicting Financial Crashes Using Discrete Scale Invariance. https://arxiv.org/abs/cond-mat/9903321

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