The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash
Level 4 - case-series / case-control
Level 4 by design analogy; retrospective observational time-series case study of financial market data.
OpenAlex W3122813094 · doi:10.48550/arxiv.cond-mat/0004263
What was done
The authors analyzed historical price movements of the Nasdaq Composite index during the speculative bubble from spring 1997 through its crash in April 2000. They compared this trajectory to historical patterns from the October 1929 market crash and evaluated whether the crash dynamics and largest drawdowns fit their previously proposed quantitative log-periodicity framework.
What was found
The Nasdaq Composite index fell approximately 10% on April 14, 2000, closing at 3321, which represented a total loss exceeding 35% from its peak of 5133 on March 10, 2000. Statistical analysis indicated that the largest drawdowns were outliers with a confidence level greater than 99%, fitting the authors' quantitative framework for speculative bubbles.
Why it matters
This paper applies quantitative log-periodic modeling to describe equity bubble formation and crash dynamics using real-time market data from the 2000 tech crash.
Limits
The study is a retrospective case analysis of a single market index episode, relying on post-hoc model fitting. The abstract provides no prospective validation, error bounds for model estimates, or formal statistical sample size metrics.
Cited by
- supports During the dot-com bubble, Cisco traded at a price-to-earnings (P/E) ratio of 100.