Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to askстатья
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Дата последнего поиска статьи во внешних источниках: 7 декабря 2013 г.
Авторы:
Geraskin P.,
Fantazzini D.
Журнал:
European Journal of Finance
Том:
19
Номер:
5
Год издания:
2013
Издательство:
Chapman & Hall
Местоположение издательства:
United Kingdom
Первая страница:
366
Последняя страница:
391
DOI:
10.1080/1351847X.2011.601657
Аннотация:
Sornette, Johansen, and Bouchaud (1996), Sornette and Johansen (1997), Johansen, Ledoit, and Sornette (2000) and Sornette (2003a) proposed that, prior to crashes, the mean function of a stock index price time series is characterized by a power law decorated with log-periodic oscillations, leading to a critical point that describes the beginning of the market crash. This article reviews the original log-periodic power law model for financial bubble modeling and discusses early criticism and recent generalizations proposed to answer these remarks. We show how to fit these models with alternative methodologies, together with diagnostic tests and graphical tools, to diagnose financial bubbles in the making in real time. An application of this methodology to the gold bubble which burst in December 2009 is then presented. В© 2013 Copyright Taylor and Francis Group, LLC.
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