TY - JOUR
T1 - Analysis of the Lehman Brothers collapse and the Flash Crash event by applying wavelets methodologies
AU - Beccar-Varela, Maria P.
AU - Mariani, Maria C.
AU - Tweneboah, Osei K.
AU - Florescu, Ionut
N1 - Publisher Copyright:
© 2017
PY - 2017/5/15
Y1 - 2017/5/15
N2 - In this study, we apply a wavelet methodology initially developed for geophysical data to financial data. Specifically, the method distinguishes between natural tectonic earthquakes and man made explosions. We exemplify using time series data from two financial events: the Lehman Brothers collapse and the Flash Crash event. We conclude that the Lehman Brothers collapse behaves like a natural earthquake while the Flash Crash event behaves like a human made explosion. This study may imply that the Lehman Brothers type events may be predicted, while sudden Flash Crash type events are not predictable.
AB - In this study, we apply a wavelet methodology initially developed for geophysical data to financial data. Specifically, the method distinguishes between natural tectonic earthquakes and man made explosions. We exemplify using time series data from two financial events: the Lehman Brothers collapse and the Flash Crash event. We conclude that the Lehman Brothers collapse behaves like a natural earthquake while the Flash Crash event behaves like a human made explosion. This study may imply that the Lehman Brothers type events may be predicted, while sudden Flash Crash type events are not predictable.
KW - Flash Crash event
KW - High frequency financial data
KW - Lehman Brothers collapse
KW - Wavelets methodology
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U2 - 10.1016/j.physa.2017.01.064
DO - 10.1016/j.physa.2017.01.064
M3 - Article
AN - SCOPUS:85012262536
SN - 0378-4371
VL - 474
SP - 162
EP - 171
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
ER -