The sharp peak-flat trough pattern and critical speculation

Details The sharp peak-flat trough pattern and critical speculation The sharp peak-flat trough pattern and critical speculation

1998-02-23

arxiv.org/abs/cond-mat/9802234v1

European Physical Journal B 4, 387-399 (1998)

Physics

Condensed Matter

Statistical Mechanics

20 pages, 6 figures (only fig.4 and 6 available in ps format), 3 tables, European Physical Journal B (in press)

Scientific paper

10.1007/s100510050394

We find empirically a characteristic sharp peak-flat trough pattern in a large set of commodity prices. We argue that the sharp peak structure reflects an endogenous inter-market organization, and that peaks may be seen as local ``singularities'' resulting from imitation and herding. These findings impose a novel stringent constraint on the construction of models. Intermittent amplification is not sufficient and nonlinear effects seem necessary to account for the observations.

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