Seminar psu 21.10.2013   financial bubble diagnostics based on log-periodic power law model
Upcoming SlideShare
Loading in...5
×
 

Seminar psu 21.10.2013 financial bubble diagnostics based on log-periodic power law model

on

  • 952 views

 

Statistics

Views

Total Views
952
Views on SlideShare
952
Embed Views
0

Actions

Likes
0
Downloads
5
Comments
0

0 Embeds 0

No embeds

Accessibility

Upload Details

Uploaded via as Microsoft PowerPoint

Usage Rights

© All Rights Reserved

Report content

Flagged as inappropriate Flag as inappropriate
Flag as inappropriate

Select your reason for flagging this presentation as inappropriate.

Cancel
  • Full Name Full Name Comment goes here.
    Are you sure you want to
    Your message goes here
    Processing…
Post Comment
Edit your comment

Seminar psu 21.10.2013   financial bubble diagnostics based on log-periodic power law model Seminar psu 21.10.2013 financial bubble diagnostics based on log-periodic power law model Presentation Transcript

  • Financial bubble diagnostics based on log-periodic power law model Perm State National Research University Perm R group r-group.mifit.ru ITE.LAB “MathEconomics” Open Course Russia, Perm, 21 November 2013 Arbuzov V. arbuzov@prognoz.ru
  • About financial bubbles It was very difficult to definitively identify a bubble until after the fact—that is, when it is bursting we confirm its existence. Mr. Greenspan A situation in which prices for securities, especially stocks, rise far above their actual value. This trend continues until investors realize just how far prices have risen, usually, but not always, resulting in a sharp decline. Thefreedictionary.com An upward price movement over an extended range that then implodes. Charles Kindleberger, MIT A speculative bubble exists when the price of something does not equal its market fundamentals for some period of time for reasons other than random shocks. Professor J.Barley Rosser, James Madison University 2
  • 3 Tulipomania • 1585 – 1650 Netherlands • Creating futures and options on the tulips • The fall is 100 times
  • 4 Crash 1929. Dow Jones
  • 5 The crisis in October 1987. S&P 500
  • 6 The crisis in October 1997. Index Hang Seng
  • 7 The collapse of the RTS in 1997
  • 8 Crash of index NASDAQ in 2000
  • Crash of index Dow Jones. 2007
  • Crash of index RTS in 2008
  • 11 What is common???
  • 12 Log Periodic Power Law (LPPL) Authors A.Johansen, O.Ledoit, D.Sornette (JLS) First publication Large financial crashes (1997) Famous book Didier Sornette Why Stock Markets Crash (2004)
  • 13 Power law?
  • 14 Log Periodic ?
  • 15 LPPL = log periodic + power law
  • What is m? m = 0.01 m = 0.9 m = 0.3 m = 1.7 16
  • What is ? =3 =7 = 15 = 30 17
  • What is ? =7 = 9.5 18
  • Critical time estimation First model Second model 19
  • With four parameters I can fit an elephant, and with five I can make him wiggle his trunk. John von Neumann 20
  • 21 Estimation of parameters A B C N fi gi fi fi 2 f i gi gi gi f i gi2 1 ln pi ln pi fi ln pi gi
  • 22 Estimation of parameters • Splitting the tolerance values ​on the grid • Finding the grid parameters providing a minimum sum of squared residuals • Optimizing found on the grid parameters using the Newton-Gauss
  • 23 Various sections of the cost function
  • 24 New method for estimating the parameters V.Filimonov and D.Sornette A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model (29 aug 2011)
  • 25 New method for estimating the parameters
  • 26 The most important results •
  • 27 Various sections of the cost function after transformation
  • 28 Estimation of parameters t0 tc m The procedure for estimation of parameters B ln[ p(t )] A Filter
  • Models selection • 150 LOMB PERIODOGRAM 0 50 P(omega) 100 m 0 10 20 omega 30 40 29
  • 30 Lomb spectral analysis
  • 31 The evolution of the bubble …
  • 32 The Crash Lock-In Plot (CLIP) D.Fantazzini, P.Geraskin, Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask (2011)
  • 33
  • 34
  • The practical task № 6. Estimate LPPL model TASK : a. Download Nikkei Index Data(ticker: “^N225”) from June 2012 to June 2013 b. Estimate parameters of model LPPL MODEL LPPL: Commands to help : help(nsl)
  • Q&A arbuzov@prognoz.ru