Sornette, Didier; Zhou, Wei-Xing - In: Quantitative Finance 2 (2002) 6, pp. 468-481
A remarkable similarity in the behaviour of the US S&P500 index from 1996 to August 2002 and of the Japanese Nikkei index from 1985 to 1992 (11 year shift) is presented, with particular emphasis on the structure of the bearish phases. Extending a previous analysis of Johansen and Sornette on the...