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The European Physical Journal B
ISSN: 1434-6028 (printed version)
ISSN: 1434-6036 (electronic version)
Abstract Volume 4 Issue 3 (1998) pp 387-399
The sharp peak-flat trough pattern and critical speculation
B.M. Roehner (1) (a), D. Sornette (2)(3) (b)
(1) L.P.T.H.E., Université Paris 7, 2 place Jussieu, 75251 Paris Cedex 05, France
(2) L.P.M.C. (CNRS UMR6622), Université de Nice-Sophia Antipolis, B.P. 71, 06108 Nice Cedex 2, France
(3) IGPP and ESS Department, UCLA, Box 951567, Los Angeles, CA 90095-1567, USA
Received: 2 February 1998 / Revised and accepted: 22 February 1998
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.
PACS. 01.75+m Science and society - 05.40.+j Fluctuation phenomena, random processes, and Brownian motion - 05.70.Jk Critical point phenomena
(a) email: roehner@lpthe.jussieu.fr
(b) email: sornette@naxos.unice.fr
Article in PDF-Format (389 KB)
Online publication: August 17, 1998
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