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World markets development from log-periodic perspective

Stanisław Drożdż 1,2,  Jarosław Kwapień 1,  Paweł Oświęcimka 1

1. Polish Academy of Sciences, Institute of Nuclear Physics (IFJ PAN), Radzikowskiego 152, Kraków 31-342, Poland
2. University of Rzeszów, Institute of Physics, Department of Complex Systems, Rejtana 16, Rzeszów 35-310, Poland

Abstract
Detecting potential deterministic patterns in the financial dynamics and identifying their origin is a great intellectual as well as practical challenge. In this context the suggestion that financial dynamics may be governed by phenomena analogous to criticality in the statistical physics sense and, especially, the related subtle concept of log-periodicity proves promising but at the same time it still appears somewhat controversial. Based on our related "finance-prediction-oriented" methodology [1] which involves such elements as log-periodic self-similarity [2], the universal preferred scaling factor, and allows a phenomenon of the "super-bubble" [3] we analyze the leading world stock markets (represented by the S&P500, DAX, WIG and some Asian markets) and the commodity - especially oil [4] and precious metal - markets development over the past several years. This analysis involves both the bull as well as the bear markets phases.  We emphasize the subtleties of the related description and present some of our successful predictions as documented on the public fora [5] and/or placed at [6]. Some other publicly documented examples of our previous successful predictions include the oil trend reversal in early July 2008 and some local trend reversals in the gold market (December 2009 and May 2010).  In the present contribution we elaborate on the related methodology and on the current world market status. We also present some further forecasting scenarios for the world stock market, for the oil and for the precious metals markets.

References

[1] S. Drożdż, F. Gruemmer, F. Ruf, J. Speth, Prediction oriented variant of financial log-periodicity and speculating about the stock market development until 2010, in  Practical Fruits of Econophysics, Ed. H. Takayasu, Springer-Verlag, Tokyo, 2006

[2] S. Drożdż, F. Ruf, J. Speth, M. Wójcik, Imprints of log-periodic self-similarity in the stock market, Eur. Phys. J. B 10 (1999) 589

[3] S. Drożdż, F. Gruemmer, F. Ruf, J. Speth, Log-periodic self-similarity: an emerging financial law?, Physica A 324 (2003) 174

[4] S. Drożdż, J. Kwapień, P. Oświęcimka, Criticality characteristics of current oil price dynamics, Acta Phys. Pol. A 114 (2008) 702

[5] http://wojciechbialek.blox.pl/html (in Polish)

[6] http://picasaweb.google.com/finpredict

 

Auxiliary resources (full texts, presentations, posters, etc.)
  1. PRESENTATION: World markets development from log-periodic perspective, Microsoft Office Document, 15.2MB
 

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Presentation: Invited oral at 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Stanisław Drożdż
See On-line Journal of 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2010-10-13 11:28
Revised:   2010-10-13 11:54