Previous analyses of a large ensemble of stock markets have demonstrated that a log-periodic power law (LPPL) behavior of the prices constitutes a qualifying signature of speculative bubbles that often land with a crash. We detect such a LPPL signature in the foreign capital inflow during the...

We tested 45 indices and common stocks in the South African stock market for the possible existence of a bubble over the period from January 2003 to May 2006. A bubble is defined by a faster-than-exponential acceleration with significant log-periodic oscillations. These two traits are analyzed...

We present an analysis of oil prices in USD and in other major currencies that diagnoses unsustainable faster-than-exponential behavior. This supports the hypothesis that the recent oil price run-up was amplified by speculative behavior of the type found during a bubble-like expansion. We also...

Notwithstanding the significant efforts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which conditions. In addition, synthetic tests suggest that the performance of LRC estimators varies...

The Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with finite-time singular crash hazard rates has been developed to describe the dynamics of financial bubbles and crashes. It has been applied successfully to a large variety of financial bubbles in many different markets....

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed...

Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be...

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed...

We find that the seed of the 2002/03 crisis of the Dutch supermarket giant AHOLD was planted in 1996. We have adapted Weidlich's theory of opinion formation to describe the formation of buy or sell decisions among investors, based on a competition between the mechanisms of herding and of...

We propose a straightforward extension of our previously proposed log-periodic power-law model of the “anti-bubble” regime of the USA stock market since the summer of 2000, in terms of the renormalization group framework to model critical points. Using a previous work by Gluzman and Sornette...