Log-Periodic Crashes Revisited

Raul Matsushita, University of Brasilia
Sergio Da Silva, Federal University of Santa Catarina
Annibal Figueiredo, University of Brasilia
Iram Gleria, Federal University of Alagoas

Abstract

We revisit the finding that crashes can be deterministic and governed by log-periodic formulas. One- and two-harmonic equations are usually employed to fit daily data during bubble episodes. But a three-harmonics has been shown to fit anti-bubbles. Here we show that the three-harmonic formula can work for bubble episodes as well as anti-bubbles. This is illustrated with daily data from the Brazilian real-US dollar exchange rate. We also show that the three-harmonics can fit an intraday data set from that foreign exchange rate.