Prediction accuracy and sloppiness of log-periodic functions

DOI10.1080/14697688.2011.607467zbMath1280.91195arXiv1006.2010OpenAlexW3125621474MaRDI QIDQ5746761

David S. Brée, Pier Paolo Peirano, Damien Challet

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.2010

zbMATH Keywords

power lawsfinancial time seriesmodelling asset price dynamics

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (9)

Modified profile likelihood inference and interval forecast of the burst of financial bubbles ⋮ Comparing nested data sets and objectively determining financial bubbles' inceptions ⋮ A stable and robust calibration scheme of the log-periodic power law model ⋮ Why topological data analysis detects financial bubbles? ⋮ Bubbles, shocks and elementary technical trading strategies ⋮ Bayesian log-periodic model for financial crashes ⋮ Multivariate bubbles and antibubbles ⋮ LOGISTIC MODEL FOR STOCK MARKET BUBBLES AND ANTI-BUBBLES ⋮ On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators

Cites Work

• The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
• Predicting critical crashes? A new restriction for the free variables
• BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY
• A Trust Region Algorithm for Nonlinearly Constrained Optimization
• Resolvability of the Parameters of Multiexponentials and Other Sum Models
• A Bayesian analysis of log-periodic precursors to financial crashes

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