Log-Periodic Power Law and Generalized Hurst Exponent Analysis in Estimating an Asset Bubble Bursting Time

• Autorzy: Marcin Wątorek , Bartosz Stawiarski
• Języki publikacji: EN

Abstrakty

EN

We closely examine and compare two promising techniques helpful in estimating the moment an asset bubble bursts. Namely, the Log-Periodic Power Law model and Generalized Hurst Exponent approaches are considered. Sequential LPPL fiffing to empirical financial time series exhibiting evident bubble behavior is presented. Estimating the critical crash-time works satisfactorily well also in the case of GHE, when substantial "decorrelation" prior to the event is visible. An extensive simulation study carried out on empirical data: stock indices and commodities, confirms very good performance of the two approaches. (original abstract)

Słowa kluczowe

EN

Forecasting; Simulation analysis; Financial markets

PL

Prognozowanie; Analiza symulacyjna; Rynki finansowe

• Czasopismo: e-Finanse
• Rocznik: 2016
• Tom: 12
• Numer: nr 3
• Strony: 49--58

Twórcy

autor

Marcin Wątorek

• Polish Academy of Sciences

autor

Bartosz Stawiarski

• Cracow University of Technology

Bibliografia

• Barunik, J., Aste, T., Di Matteo, T., Liu, R. (2012). Understanding the Source of Multifractality in Financial Markets. Physica A, 391(17), 4234-4251.
• Bree, D., Joseph, J. (2013). Testing for Financial Crashes using the Log Periodic Power Law Model. International Review of Financial Analysis, 30(C) , 287-297.
• Drożdż, S., Grummer, F., Ruf, F., Speth, J. (2003). Log-periodic Self-similarity: an Emerging Financial Law? Physica A, 324, 174- 182.
• Drożdż, S., Kwapień, J., Oświęcimka, P. (2008). Criticality Characteristics of Current Oil Price Dynamics. Acta Physica Polonica A, 114, 699.
• Filmonov, V., Sornette, D. (2013). A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model. Physica A, 392(17), 3698-3707.
• Grech, D., Pamuła, D. (2008). The Local Hurst Exponent of the Financial Time Series in the Vicinity of Crashes on the Polish Stock Exchange Market. Physica A, 387, 4299-4308.
• Jiang, Z.-Q., Zhou, W.-X., Sornette, D., Woodard, R., Bastiaensen, K., Cauwels, P. (2010). Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese Stock Market Bubbles. Journal of Economic Behavior and Organization, 74, 149-162.
• Johansen, A., Sornette, D. (1999). Financial "Anti-Bubbles": Log-Periodicity in Gold and Nikkei Collapses. International Journal of Modern Physics C, Vol. 10, No. 4, 563-575.
• Johansen, A., Sornette, D. (2010). Shocks, Crashes and Bubbles in Financial Markets. Brussels Economic Review, 53(2), 201- 253.
• Johansen, A., Ledoit, O., Sornette, D. (2000). Crashes as Critical Points. International Journal of Theoretical and Applied Finance, 3(2), 219-255.
• Kristoufek, L. (2010). Local Scaling Properties and Market Turning Points at Prague Stock Exchange. Acta Physica Polonica B, 41(6), 1223-1336.
• Di Matteo, T. (2007). Multi- scaling in finance. Quantitative Finance, 7(1).
• Morales, R., Di Matteo, T., Aste, T. (2014). Dependency Structure and Scaling Properties of Financial Time Series Are Related. Scientific Reports 4, 4589.
• Morales, R., Di Matteo, T., Gramatica, R., Aste, T. (2012). Dynamical Generalized Hurst Exponent as a Tool to Monitor Unstable Periods in Financial Time Series. Physica A. 391, 3180-3189.
• Pele, D. (2012). An Lppl Algorithm For Estimating The Critical Time Of A Stock Market Bubble. Journal of Social and Economic Statistics, 1(2), 14-22.
• Pozzi, F., Di Matteo, T., Aste, T. (2012). Exponential Smoothing Weighted Correlations. The European Physical Journal B, 85(175).
• Sornette, D., Woodard, R., Jiang, Z.-Q., Zhou, W.-X. (2013). Clarifications to Questions and Criticisms on the Johansen- Ledoit-Sornette Financial Bubble Model. Physica A, 392(19), 4417-4428.
• Wątorek, M., Drożdż, S., Oświęcimka, P. (2016). World Financial 2014-2016 Market Bubbles: Oil Negative - US Dollar Positive. Acta Physica Polonica A 129 (5), 932-936.
• Weron, A., Weron, R. (2000). Fractal Market Hypothesis and Two Power-laws. Chaos, Solitons and Fractals. 11, 289-296.
• Zhang, Q., Sornette, D., Balcilar, M., Gupta, R., Abidin Ozdemir, Z., Yetkiner, H. (2016). LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index. Physica A, 458, 126-139.

Identyfikatory

DOI

10.14636/1734-039X_12_3_004