Discrete Scale Invariance in Stock Markets before Crashes

Authors

James A. Feigenbaum, Utah State UniversityFollow
P. G. Freund

Document Type

Article

Journal/Book Title/Conference

International Journal of Modern Physics B

Volume

10

Publication Date

1996

First Page

3737

Last Page

3745

Abstract

We propose a picture of stock market crashes as critical points in a system with discrete scale invariance. The critical exponent is then complex, leading to log-periodic fluctuations in stock market indexes. We present “experimental” evidence in favor of this prediction. This picture is in the spirit of the known earthquake-stock market analogy and of recent work on log-periodic fluctuations associated with earthquakes.

Recommended Citation

Feigenbaum, J. A. and P.G.O. Freund, (1996), “Discrete Scale Invariance in Stock Markets before Crashes,” International Journal of Modern Physics B 10: 3737-3745.