|
| |
| Raul Matsushita and Sergio Da Silva |
| |
| ''A log-periodic fit for the flash crash of May 6, 2010'' |
| ( 2011, Vol. 31 No.2 ) |
| |
| |
| We show that a two-harmonic log-periodic formula fits the high-frequency data from the Dow Jones Industrial Average index, which encompass the recent episode known as the “flash crash” of May 6, 2010. |
| |
| |
| Keywords: flash crash, crashes, log-periodicity |
JEL:
C6 - Mathematical Methods and Programming: General |
| |
| Manuscript Received : Jun 15 2011 | | Manuscript Accepted : Jun 16 2011 |
|
