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We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two …, 35, and 90 national-level macroeconomic time series and a dynamic forecasting methodology. Empirical results suggests …
Persistent link: https://www.econbiz.de/10010411858
Since 2009, stock markets have resided in a long bull market regime. Passive investment strategies have succeeded during this low-volatility growth period. From 2018 on, however, there was a transition into a more volatile market environment interspersed by corrections increasing in amplitude...
Persistent link: https://www.econbiz.de/10012419688
We introduce a novel quantitative methodology to detect real estate bubbles and forecast their critical end time, which we apply to the housing markets of China's major cities. Building on the Log-Periodic Power Law Singular (LPPLS) model of self-reinforcing feedback loops, we use the quantile...
Persistent link: https://www.econbiz.de/10011761282
We develop the concept of “dragon-kings” corresponding to meaningful outliers, which are found to coexist with power laws in the distributions of event sizes under a broad range of conditions in a large variety of systems. These dragon-kings reveal the existence of mechanisms of...
Persistent link: https://www.econbiz.de/10003971094
We introduce the concept of “negative bubbles” as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the Johansen-Ledoit-Sornette (JLS) model of rational expectation...
Persistent link: https://www.econbiz.de/10003979508
nonlinearity from a bubble calibration. In addition to forecasting the time of the end of a bubble, the new models can also …, forecasting their ending times and estimating fundamental value and the crash nonlinearity. The performance of the new models is …
Persistent link: https://www.econbiz.de/10008797688
We present a careful analysis of possible issues of the application of the self-excited Hawkes process to high-frequency financial data and carefully analyze a set of effects that lead to significant biases in the estimation of the "criticality index'' n that quantifies the degree of endogeneity...
Persistent link: https://www.econbiz.de/10010257507
Using the mechanics of creep in material sciences as a metaphor, we present a general framework to understand the evolution of financial, economic and social systems and to construct scenarios for the future. In a nutshell, highly non-linear out-of-equilibrium systems subjected to exogenous...
Persistent link: https://www.econbiz.de/10010257508
Abreu and Brunnermeier (2003) have argued that bubbles are not suppressed by arbitrageurs because they fail to synchronise on the uncertain beginning of the bubble. We propose an indirect quantitative test of this hypothesis and confront it with the alternative according to which bubbles persist...
Persistent link: https://www.econbiz.de/10011507794
We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large number of parameters. We apply the general approach to the Log-Periodic Power Law Singularity (LPPLS) model of...
Persistent link: https://www.econbiz.de/10011514498