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AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme

AKSOE 2: Financial Markets and Risk Management I

AKSOE 2.3: Vortrag

Montag, 26. März 2007, 11:15–11:45, H8

Fractional relaxations superposed with oscillations and log-periodic bullish anti-bubbles on Warsaw Stock Exchange — •Marzena Kozłowska and Ryszard Kutner — Institute of Experimental Physics, Department of Physics, Warsaw University, Smyczkowa Str. 5/7, PL-02678 Warsaw, Poland

We analyse the dynamics of the Warsaw Stock Exchange indexes WIG and WIG20 at a daily time horizon before and after its well defined local maxima of the cusp-like shape decorated with oscillations. The falling paths of all indexes peaks can be described by generalised exponent or the Mittag-Leffler (ML) function superposed with various types of oscillations while the rising paths can be mainly described by bullish anti-bubbles. The former function is a solution of our model of index dynamics defined by the nonhomogeneous fractional relaxation equation. This solution is a generalised analog of an exactly solvable model of viscoelastic materials. The latter are a kind of log-periodic oscillations of market in the bullish state initiated by a crash. However, none of considered peaks of indexes can be viewed as the "finger print" of a dynamical critical phenomenon as financial market changes its state from the bullish to bearish ones before it reaches a critical region i.e. too early. This means that the Polish emerging financial market, although anomalous, should be considered as shy which can be reminiscence of a significant risk aversion of investors.