Comparing nested data sets and objectively determining financial bubbles' inceptions

DOI10.1016/J.PHYSA.2019.04.050MaRDI QIDQ2159130zbMATH OpenOpenAlexWikidataFDO

Authors G. Demos, D. Sornette

Publication date 26 July 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.04.050

zbMATH Keywords

cost functionoptimisationtime serieschange-point detectiongoodness-of-fitnumerical simulationfinancial bubblessub-sample selection

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• scientific article; zbMATH DE number 1987559 (Why is no real title available?)
• scientific article; zbMATH DE number 1762479 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A new look at the statistical model identification
• A stable and robust calibration scheme of the log-periodic power law model
• CRASHES AS CRITICAL POINTS
• Evidence of a worldwide stock market log-periodic anti-bubble since mid-2000
• Modified profile likelihood inference and interval forecast of the burst of financial bubbles
• Prediction accuracy and sloppiness of log-periodic functions
• Significance of log-periodic precursors to financial crashes

Cited in

(3)

• Detection of financial bubbles using a log-periodic power law singularity (LPPLS) model
• A PRACTICAL ALGORITHM TO DETECT SUPEREXPONENTIAL BEHAVIOR IN FINANCIAL ASSET PRICE RETURNS
• Dissecting the 2015 Chinese stock market crash

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