Fractal properties of financial markets

We present an analysis of the USA stock market using a simple fractal function. Financial bubbles preceding the 1987, 2000 and 2007 crashes are investigated using the Besicovitch–Ursell fractal function. Fits show a good agreement with the S&P 500 data when a complete financial growth is considered, starting at the threshold of the abrupt growth and ending at the peak. Moving the final time of the fitting interval towards earlier dates causes growing discrepancy between two curves. On the basis of a detailed analysis of the financial index behavior we propose a method for identifying the stage of the current financial growth and estimating the time in which the index value is going to reach the maximum.