Forecasting Financial Crashes: Revisit to Log-Periodic Power Law
نویسندگان
چکیده
منابع مشابه
Fitting the Log Periodic Power Law to financial crashes: a critical analysis∗
A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or ‘crashes’, contain parameters that are confined within certain ranges. The mechanism that has been claimed as underlying the LPPL, is based on influence percolation and a martingale condition. This paper examines these claims and the robustness of the LPPL for capt...
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A large number of papers have been written by physicists documenting an alleged signature of imminent financial crashes involving so-called log-periodic oscillations—oscillations which are periodic with respect to the logarithm of the time to the crash. In addition to the obvious practical implications of such a signature, log-periodicity has been taken as evidence that financial markets can be...
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We apply two non-parametric methods to test further the hypothesis that log-periodicity characterizes the detrended price trajectory of large financial indices prior to financial crashes or strong corrections. The analysis using the so-called (H, q)-derivative is applied to seven time series ending with the October 1987 crash, the October 1997 correction and the April 2000 crash of the Dow Jone...
متن کاملSignificance of log-periodic precursors to financial crashes
We clarify the status of log-periodicity associated with speculative bubbles preceding financial crashes. In particular, we address Feigenbaum’s [2001] criticism and show how it can be rebuked. Feigenbaum’s main result is as follows: “the hypothesis that the log-periodic component is present in the data cannot be rejected at the 95% confidence level when using all the data prior to the 1987 cra...
متن کاملA Statistical Analysis of Log-Periodic Precursors to Financial Crashes
Motivated by the hypothesis that financial crashes are macroscopic examples of critical phenomena associated with a discrete scaling symmetry, we reconsider the evidence of log-periodic precursors to financial crashes and test the prediction that log-periodic oscillations in a financial index are embedded in the conditional expectation function of this index. In particular, we examine the first...
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ژورنال
عنوان ژورنال: Complexity
سال: 2018
ISSN: 1076-2787,1099-0526
DOI: 10.1155/2018/4237471