- Author
- Oświęcimka Paweł (Instytut Fizyki Jądrowej PAN w Krakowie), Drożdż Stanisław (Uniwersytet Rzeszowski; Instytut Fizyki Jądrowej PAN w Krakowie), Kwapień Jarosław (Instytut Fizyki Jądrowej PAN w Krakowie), Rak Rafał (Uniwersytet Rzeszowski)
- Title
- Czy można przewidzieć krach?
Is It Possible to Predict Crash? - Source
- Ekonomia / Uniwersytet Warszawski, 2011, nr 25, s. 163-171, rys. bibliogr. s. 171
- Keyword
- Teoria systemów, Prognozowanie, Giełda papierów wartościowych
Theory of systems, Forecasting, Stock market - Note
- summ.
- Abstract
- This article presents one of the most promising methods to predict the sudden changes in the stock market, namely the theory of log-periodic oscillations. The authors, in addition to the above theoretical basis method referring to the theory of complex systems and critical phenomena, show empirical evidence of the effectiveness of this approach in predicting both the bust in the stock market, as well as in the resources market. The examples (based on the analysis and forecasts) shown in the research confirm that self-similar log-periodicity with a parameter contraction lambda ~ 2 is able to properly describe the dynamics of the stock exchange on different time scales. What is more, the prediction, indicating a reversal of the uptrend in the stock market in September and October in 2009, was shown. (original abstract)
- Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics - Full text
- Show
- Bibliography
-
- Bartolozzi M., Drożdż S., Leinweber D.B., Speth J., Thomas A.W., 2005, Self-Similar Log-Periodic Structures in Western Stock Markets from 2000, "International Journal of Modern Physics C" Volume 16, Issue 09, s. 1347-1361.
- Drożdż S., Grummer F., Ruf F., Speth J., 2003, Log-periodic self-similarity: an emerging financial law?, "Physica A" nr 324, s. 174-182.
- Drożdż S., Kwapień J., Oświęcimka P., 2008a, Criticality Characteristics of Current OilPrice Dynamics, "Acta Physica Polonica A" nr 114, s. 699-702.
- Drożdż S., Kwapień J., Oświęcimka P., Speth J., 2008b, Current log-periodic view on future world market development, "Acta Physica Polonica A" nr 114, s. 539.
- Drożdż S. Oświęcimka P., 2009, World stock market: approaching trend reversal?, http://arxiv.org/abs/0909.0418.
- Drożdż S., Ruf F., Speth J., Wójcik M., 1999, Imprints of log-periodic self-similarity in the stock market, "The European Physical Journal B" nr 10, s. 589-59.
- Górski A.Z., Drożdż S., Kwapień J., 2008, Scale free effects in world currency exchange network, "The European Physical Journal B" nr 66, s. 91-96.
- Oświęcimka P., Kwapień J., Drożdż S., 2005, Multifractality in the stock market: price increments versus waiting times, "Physica A" nr 347, s. 626-638.
- Potters M., Bouchaud J.-P., Laloux L., 2005, Financial Applications of Random Matrix Theory: Old Laces and New Pieces, "Acta Physica Polonica B" nr 36, s. 2767.
- Sornette D., 2002, Predictability of catastrophic events: material rupture, earthquakes, turbulence, financial crashes and human birth, "Proceedings of the National Academy of Sciences of the United States of America" nr 99, Suppl. 1, s. 2522-2529.
- Cited by
- ISSN
- 0137-3056
- Language
- pol
