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Dot-com and AI bubbles: Can data from the past be helpful to match the price bubble euphoria phase using dynamic time warping?

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  • Potrykus, Marcin

Abstract

The article investigates the existence of a price bubble in the artificial intelligence market, employing the Generalised Supremum Augmented Dickey-Fuller test and dynamic time warping methodology. It proposes a method to detect the end of the price bubble euphoria phase, generating an average profit of close to 7 % over 5 days and over 10.5 % over 20 days, with almost 90 % effectiveness. The study found that the AI market experienced a phase of euphoria due to the COVID-19 pandemic. Four companies – META PLATFORMS, WORKDAY, SALESFORCE and NVIDIA CORPORATION – were identified, whose stock prices currently resemble the euphoria phase.

Suggested Citation

  • Potrykus, Marcin, 2024. "Dot-com and AI bubbles: Can data from the past be helpful to match the price bubble euphoria phase using dynamic time warping?," Finance Research Letters, Elsevier, vol. 67(PA).
    • Handle: RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008298
    DOI: 10.1016/j.frl.2024.105799
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    References listed on IDEAS

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    More about this item

    Keywords

    Price bubbles; Euphoria; GSADF test; Dynamic time warping;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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