Monday, January 18, 2010

Potential Hysteresis Effect in Markets

A pattern I have noticed from the past and the present.


Tangent function in Matlab as an approximation of typical hysteresis response curve.



In 1987 the stock market may have exhibited a hysteresis response before the crash.



Stock market from March 2009 to present.



Maybe it is nothing, but the potential similarities are interesting to see.




2 comments:

  1. Are you familiar with whether or not there is research indicating if economic markets generally resemble past markets under similar circumstances? I.e., if we compare our current market against 1987 or 1929, and it does or does not look similar, is that likely to provide predictive information?

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  2. yes i have looked and there are credit conditions similar between now and 1987, i will try to write about this in the next couple days.

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