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Inferring fundamental value and crash nonlinearity from bubble calibration
Yan, Wanfeng; Woodard, Ryan; Sornette, Didier - 2010
of new models based on the Johansen-Ledoit-Sornette (JLS) model, which is a flexible tool to detect bubbles and predict … dynamics of a crash after a bubble. We test the models using data from three historical bubbles ending in crashes from … Shanghai Composite index 2009 crash. All results suggest that the new models perform very well in describing bubbles …
Persistent link: https://www.econbiz.de/10008797688
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A creepy world
Sornette, Didier; Cauwels, Peter - 2013
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
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LPPLS bubble indicators over two centuries of the S&P 500 index
Zhang, Qunzhi; Sornette, Didier; Balcilar, Mehmet; … - 2016
The aim of this paper is to present novel tests for the early causal diagnostic of positive and negative bubbles in the … LPPLS (log-periodic power law singularity) approach successfully diagnoses positive and negative bubbles, constructs … efficient End-of-Bubble signals for all of the well-documented bubbles, and obtains for the first time new statistical evidence …
Persistent link: https://www.econbiz.de/10011514490
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Deep LPPLS : forecasting of temporal critical points in natural, engineering and financial systems
Nielsen, Joshua; Sornette, Didier; Raissi, Maziar - 2024
Persistent link: https://www.econbiz.de/10014543723
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A model of financial bubbles and drawdowns with non-local behavioral self-referencing
Malevergne, Yannick; Sornette, Didier; Wei, Ran - 2021
We propose a novel class of models in which the crash hazard rate is determined by a function of a non-local estimation of mispricing. Rooted in behavioral finance, the non-local estimation embodies in particular the characteristic of "anchoring" on past price levels and the "probability...
Persistent link: https://www.econbiz.de/10012800780
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The role of the end time in experimental asset markets
Kopányi-Peuker, Anita; Weber, Matthias - 2022
price dynamics with recurring bubbles in all treatments …
Persistent link: https://www.econbiz.de/10013192083
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U.S. metropolitan house price dynamics
Oikarinen, Elias; Bourassa, Steven C.; Hoesli, Martin; … - 2017
Using data for 70 U.S. metropolitan areas, this study explores spatial heterogeneity in house price dynamics. We use recent advances in panel econometrics that allow for spatial heterogeneity, cross-sectional dependence, and non-stationary but cointegrated data. We test for spatial differences...
Persistent link: https://www.econbiz.de/10011875693
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Scaling laws and statistical properties of the transaction flows and holding times of bitcoin
Sornette, Didier; Zhang, Yu - 2024
Persistent link: https://www.econbiz.de/10014483276
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A consistent model of "explosive" financial bubbles with mean-reversing residuals
Lin, Li; Ren, Ruoen; Sornette, Didier - 2009
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process … correctly identifies the bubbles ending in Oct. 1987, in Oct. 1997, in Aug. 1998 and the ITC bubble ending on the first quarter … diagnostic for the duration of bubbles: applied to the period before Oct. 1987 crash, there is clear evidence that the bubble …
Persistent link: https://www.econbiz.de/10003970340
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Financial bubbles, real estate bubbles, derivative bubbles, and the financial and economic crisis
Sornette, Didier; Woodard, Ryan - 2009
fundamental cause of the unfolding financial and economic crisis: the accumulation of several bubbles and their interplay and …
Persistent link: https://www.econbiz.de/10003970395