The sharp peak-flat trough pattern and critical speculation
Statistical Mechanics
2009-10-31 v1 Statistical Finance
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. Intermittent amplification is not sufficient and nonlinear effects seem necessary to account for the observations.
Cite
@article{arxiv.cond-mat/9802234,
title = {The sharp peak-flat trough pattern and critical speculation},
author = {B. M. Roehner and D. Sornette},
journal= {arXiv preprint arXiv:cond-mat/9802234},
year = {2009}
}
Comments
20 pages, 6 figures (only fig.4 and 6 available in ps format), 3 tables, European Physical Journal B (in press)