The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash
By Anders Johansen, Didier Sornette. 2000
140 citations recorded by the source corpus.
Abstract:The Nasdaq Composite fell another % on Friday the 14'th of April 2000 signaling the end of a remarkable speculative high-tech bubble starting in spring 1997. The closing of the Nasdaq Composite at 3321 corresponds to a total loss of over 35% since its all-time high of 5133 on the 10'th of March 2000. Similarities to the speculative bubble preceding the infamous crash of October 1929 are quite striking: the belief in what was coined a “New Economy” both in 1929 and presently made share-prices of companies with three digits price-earning ratios soar. Furthermore, we show that the largest draw downs of the Nasdaq are outliers with a confidence level better than 99% and that these two speculative bubbles, as well as others, both nicely fit into the quantitative framework proposed by the authors in a series of recent papers.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/6373fd81bafaf9255c6fdecac8dd816b195901d6
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Didier Sornette
- Anders Johansen
- V. Pisarenko
- Dimitrije Marković
- Claudius Gros
- Wei‐Xing Zhou
- Guy Ouillon
- Vladimir Filimonov
In Finance
Citations in the corpus
- Shocks, Crashes and Bubbles in Financial Markets (2010, methodology): “Many other markets, especially the emergent markets of Asia and Latin America, as well as individual stocks have been analysed previously using pure drawdowns (Johansen and Sornette, 2001b).”
- Significance of log-periodic precursors to financial crashes (2001, methodology): “…of the Nikkei index (Johansen and Sornette 1999c) (see figure 14 for an up-to-date assessment of this prediction), this would only be considered by some critics just another ‘lucky one’ without any statistical significance (see Johansen and Sornette (2000c) for an alternative Bayesian approach).”
- Finite-time singularity in the dynamics of the world population, economic and financial indices (2000, background): “Some of the most prominent, as well as more controversial, examples due to their impact on human society are models of rupture and material failure [12,13], earthquakes [14] and stock market crashes [15, 16 ].”