Two Fractal Overlap Time Series: Earthquakes and Market Crashes
Physics and Society
2008-12-02 v1 Statistical Finance
Abstract
We find prominent similarities in the features of the time series for the (model earthquakes or) overlap of two Cantor sets when one set moves with uniform relative velocity over the other and time series of stock prices. An anticipation method for some of the crashes have been proposed here, based on these observations.
Cite
@article{arxiv.0712.3992,
title = {Two Fractal Overlap Time Series: Earthquakes and Market Crashes},
author = {Bikas K. Chakrabarti and Arnab Chatterjee and Pratip Bhattacharyya},
journal= {arXiv preprint arXiv:0712.3992},
year = {2008}
}
Comments
2 column RevTeX4, 4 pages, 5 eps figures; Published in "Econophysics of Stock and Other Markets", Eds. A. Chatterjee, B. K. Chakrabarti, New Economic Windows Series, Springer, Milan (2006); Sec V and 2 refs added new in this arXiv version