Discrete Scale Invariance and the "Second Black Monday"

TL;DR

This paper presents evidence of log-periodic fluctuations in the S&P 500 index before the 1997 correction, supporting a model of discrete scale invariance in stock market crashes.

Contribution

It provides empirical evidence linking log-periodic fluctuations to a theoretical model of discrete scale invariance in financial crashes.

Findings

Log-periodic fluctuations observed before 1997 crash

Supports the discrete scale invariance rupture phenomenology

Evidence consistent with theoretical crash models

Abstract

Evidence is offered for log-periodic (in time) fluctuations in the S&P 500 stock index during the three years prior to the October 27, 1997 "correction". These fluctuations were expected on the basis of a discretely scale invariant rupture phenomenology of stock market crashes proposed earlier.