Bayesian log-periodic model for financial crashes

DOI10.1140/EPJB/E2014-41085-6MaRDI QIDQ6176868zbMATH OpenOpenAlexFDO

Authors Carlos Vladimir Rodríguez-Caballero, Oskar Knapik

Publication date 26 July 2023

Published in The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1140/epjb/e2014-41085-6

zbMATH Keywords

statistical and nonlinear physics

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80)

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Cites work

• A Bayesian analysis of log-periodic precursors to financial crashes
• A statistical analysis of log-periodic precursors to financial crashes
• An adaptive Metropolis algorithm
• Bayesian inference on mixture-of-experts for estimation of stochastic volatility
• BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY
• Computational methods for parameter estimation in climate models
• CRASHES AS CRITICAL POINTS
• Dating the timeline of financial bubbles during the subprime crisis
• Discrete scale invariance in stock markets before crashes
• FRACTIONAL MARKET MODEL AND ITS VERIFICATION ON THE WARSAW STOCK EXCHANGE
• scientific article; zbMATH DE number 1987559 (Why is no real title available?)
• Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
• More on a statistical analysis of log-periodic precursors to financial crashes
• Optimization by simulated annealing
• Prediction accuracy and sloppiness of log-periodic functions
• Significance of log-periodic precursors to financial crashes
• Spurious regression
• The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
• Very fast simulated re-annealing

Cited in

(5)

• Crash forecasting in the Korean stock market based on the log-periodic structure and pattern recognition
• Modified profile likelihood inference and interval forecast of the burst of financial bubbles
• Logistic function in large financial crashes
• A Bayesian analysis of log-periodic precursors to financial crashes
• The log-periodic-AR(1)-GARCH(1,1) model for financial crashes

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