发帖
雷达卡
摘要翻译：
许多论文声称，对数周期幂律(LPPL)适用于在市场大幅下跌或“崩溃”之前出现的金融市场泡沫，其参数被限制在一定的范围内。被认为是潜在的LPPL的机制是基于影响渗流和鞅条件。本文研究了这些主张，以及LPPL在捕捉恒生指数30年来的大幅下跌方面的稳健性，包括当前的全球经济低迷。我们发现在1970年至2008年期间，恒生市场有11次崩盘。拟合的LPPLs的参数值在Johansen和Sornette(2001)所规定的post hoc范围内，仅适用于其中的7起事故。有趣的是，LPPL拟合本可以预测恒生指数在最近全球经济低迷期间的大幅下跌。我们还发现，影响渗流结合鞅条件只适用于先前报道的一半的崩盘前泡沫。总体而言，被假定为LPPL基础的机制并没有做到这一点，而用于支持LPPL适合泡沫的数据只是部分做到了这一点。
---
英文标题：
《Testing for financial crashes using the Log Periodic Power Law mode》
---
作者：
David S. Bree (Institute for Scientific Interchange, Torino) and
Nathan Lael Joseph (Aston University, Birmingham)
---
最新提交年份：
2013
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
---
英文摘要：
A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or 'crashes', contain parameters that are confined within certain ranges. The mechanism that has been claimed as underlying the LPPL, is based on influence percolation and a martingale condition. This paper examines these claims and the robustness of the LPPL for capturing large falls in the Hang Seng stock market index, over a 30-year period, including the current global downturn. We identify 11 crashes on the Hang Seng market over the period 1970 to 2008. The fitted LPPLs have parameter values within the ranges specified post hoc by Johansen and Sornette (2001) for only seven of these crashes. Interestingly, the LPPL fit could have predicted the substantial fall in the Hang Seng index during the recent global downturn. We also find that influence percolation combined with a martingale condition holds for only half of the pre-crash bubbles previously reported. Overall, the mechanism posited as underlying the LPPL does not do so, and the data used to support the fit of the LPPL to bubbles does so only partially.
---
PDF链接：
https://arxiv.org/pdf/1002.1010
京公网安备 11010802022788号
