Essays about: "log-periodic power law model"

Found 1 essay containing the words log-periodic power law model.

  1. 1. The Predictability of Speculative Bubbles : An examination of the log-periodic power law model

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Marcus Gustavsson; Daniel Levén; [2015]
    Keywords : Econophysics; mathematical finance; LPPL; log-periodic power law model; JLS-model; power law; speculative bubbles; bubble forecasting; modeling asset price dynamics; financial bubbles; bubbles; crashes;

    Abstract : In this thesis we examine the ability of the log-periodic power law model to accurately predict the end of speculative bubbles on financial markets through modeling of asset price dynamics on a selection of historical bubbles. The methods we use are based on a nonlinear least squares estimation which yields predictions of when the bubble will change regime. READ MORE