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A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model

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Cited by:

  1. Huang, Wenyang & Wang, Yizhi, 2024. "Identifying price bubbles in global carbon markets: Evidence from the SADF test, GSADF test and LPPLS method," Energy Economics, Elsevier, vol. 134(C).
  2. Zhi, Tianhao & Li, Zhongfei & Jiang, Zhiqiang & Wei, Lijian & Sornette, Didier, 2019. "Is there a housing bubble in China?," Emerging Markets Review, Elsevier, vol. 39(C), pages 120-132.
  3. Fantazzini, Dean, 2016. "The oil price crash in 2014/15: Was there a (negative) financial bubble?," Energy Policy, Elsevier, vol. 96(C), pages 383-396.
  4. V. Filimonov & D. Sornette, 2015. "Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1293-1314, August.
  5. Song, Ruiqiang & Shu, Min & Zhu, Wei, 2022. "The 2020 global stock market crash: Endogenous or exogenous?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 585(C).
  6. Gupta, Rangan & Nel, Jacobus & Nielsen, Joshua, 2023. "US monetary policy and BRICS stock market bubbles," Finance Research Letters, Elsevier, vol. 51(C).
  7. Shu, Min & Zhu, Wei, 2020. "Detection of Chinese stock market bubbles with LPPLS confidence indicator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  8. Yao, Can-Zhong & Li, Hong-Yu, 2021. "A study on the bursting point of Bitcoin based on the BSADF and LPPLS methods," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  9. Foglia, Matteo & Miglietta, Federica, 2024. "Does every cloud (bubble) have a silver lining? An investigation of ESG financial markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
  10. Demirer, Riza & Gabauer, David & Gupta, Rangan & Nielsen, Joshua, 2024. "Gold, platinum and the predictability of bubbles in global stock markets," Resources Policy, Elsevier, vol. 90(C).
  11. Shu, Min & Song, Ruiqiang & Zhu, Wei, 2021. "The ‘COVID’ crash of the 2020 U.S. Stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  12. Li, Chong, 2017. "Log-periodic view on critical dates of the Chinese stock market bubbles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 305-311.
  13. Oguzhan Cepni & Rangan Gupta & Jacobus Nel & Joshua Nielsen, 2023. "Monetary Policy Shocks and Multi-Scale Positive and Negative Bubbles in an Emerging Country: The Case of India," Working Papers 202305, University of Pretoria, Department of Economics.
  14. Li Lin & Didier Sornette, 2018. "“Speculative Influence Network” during financial bubbles: application to Chinese stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 385-431, July.
  15. Bikramaditya Ghosh & Spyros Papathanasiou & Nikita Ramchandani & Dimitrios Kenourgios, 2021. "Diagnosis and Prediction of IIGPS’ Countries Bubble Crashes during BREXIT," Mathematics, MDPI, vol. 9(9), pages 1-14, April.
  16. Chang, Chiu-Lan, 2024. "Extreme events, economic uncertainty and speculation on occurrences of price bubbles in crude oil futures," Energy Economics, Elsevier, vol. 130(C).
  17. Bikramaditya Ghosh & Spyros Papathanasiou & Vandita Dar & Dimitrios Kenourgios, 2022. "Deconstruction of the Green Bubble during COVID-19 International Evidence," Sustainability, MDPI, vol. 14(6), pages 1-18, March.
  18. Gupta, Rangan & Nielsen, Joshua & Pierdzioch, Christian, 2024. "Stock market bubbles and the realized volatility of oil price returns," Energy Economics, Elsevier, vol. 132(C).
  19. V. Filimonov & G. Demos & D. Sornette, 2017. "Modified profile likelihood inference and interval forecast of the burst of financial bubbles," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1167-1186, August.
  20. Assaf, Ata & Demir, Ender & Ersan, Oguz, 2024. "Detecting and date-stamping bubbles in fan tokens," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 98-113.
  21. G. Demos & D. Sornette, 2017. "Birth or burst of financial bubbles: which one is easier to diagnose?," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 657-675, May.
  22. Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2017. "Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 45, pages 5-28.
  23. Mark Mizraki, 2015. "Conversation with Mark Mizruchi:“There is Very Little Organizational Theory Left in Sociology Departments”," Journal of Economic Sociology, National Research University Higher School of Economics, vol. 16(3), pages 14-25.
  24. Kensuke Ito & Kyohei Shibano & Gento Mogi, 2022. "Bubble Prediction of Non-Fungible Tokens (NFTs): An Empirical Investigation," Papers 2203.12587, arXiv.org, revised Jun 2022.
  25. Oguzhan Cepni & Rangan Gupta & Jacobus Nel & Joshua Nielsen, 2025. "Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-25, December.
  26. Diego Ardila & Dorsa Sanadgol & Peter Cauwels & Didier Sornette, 2017. "Identification and critical time forecasting of real estate bubbles in the USA," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 613-631, April.
  27. Zhang, Qunzhi & Sornette, Didier & Balcilar, Mehmet & Gupta, Rangan & Ozdemir, Zeynel Abidin & Yetkiner, Hakan, 2016. "LPPLS bubble indicators over two centuries of the S&P 500 index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 126-139.
  28. Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2016. "Everything you always wanted to know about bitcoin modelling but were afraid to ask. I," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 44, pages 5-24.
  29. Ruiqiang Song & Min Shu & Wei Zhu, 2021. "The 2020 Global Stock Market Crash: Endogenous or Exogenous?," Papers 2101.00327, arXiv.org.
  30. Hideyuki Takagi, 2021. "Exploring the Endogenous Nature of Meme Stocks Using the Log-Periodic Power Law Model and Confidence Indicator," Papers 2110.06190, arXiv.org.
  31. Cheng, Fangzheng & Fan, Tijun & Fan, Dandan & Li, Shanling, 2018. "The prediction of oil price turning points with log-periodic power law and multi-population genetic algorithm," Energy Economics, Elsevier, vol. 72(C), pages 341-355.
  32. Pascal Frank & Markus Rudolf, 2024. "Is the Metaverse Dead? Insights from Financial Bubble Analysis," FinTech, MDPI, vol. 3(2), pages 1-22, May.
  33. van Eyden, Reneé & Gupta, Rangan & Nielsen, Joshua & Bouri, Elie, 2023. "Investor sentiment and multi-scale positive and negative stock market bubbles in a panel of G7 countries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
  34. Caraiani, Petre & Gupta, Rangan & Nel, Jacobus & Nielsen, Joshua, 2023. "Monetary policy and bubbles in G7 economies using a panel VAR approach: Implications for sustainable development," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 133-155.
  35. Min Shu & Ruiqiang Song & Wei Zhu, 2021. "The 2021 Bitcoin Bubbles and Crashes—Detection and Classification," Stats, MDPI, vol. 4(4), pages 1-21, November.
  36. Gharib, Cheima & Mefteh-Wali, Salma & Serret, Vanessa & Ben Jabeur, Sami, 2021. "Impact of COVID-19 pandemic on crude oil prices: Evidence from Econophysics approach," Resources Policy, Elsevier, vol. 74(C).
  37. Riza Demirer & David Gabauer & Rangan Gupta & Joshua Nielsen, 2023. "Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets," Working Papers 202317, University of Pretoria, Department of Economics.
  38. Min Shu & Ruiqiang Song & Wei Zhu, 2021. "The 'COVID' Crash of the 2020 U.S. Stock Market," Papers 2101.03625, arXiv.org.
  39. Kristoffer Pons Bertelsen, 2019. "Comparing Tests for Identification of Bubbles," CREATES Research Papers 2019-16, Department of Economics and Business Economics, Aarhus University.
  40. Demos, G. & Sornette, D., 2019. "Comparing nested data sets and objectively determining financial bubbles’ inceptions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 661-675.
  41. Papastamatiou, Konstantinos & Karakasidis, Theodoros, 2022. "Bubble detection in Greek Stock Market: A DS-LPPLS model approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
  42. Qun Zhang & Qunzhi Zhang & Didier Sornette, 2016. "Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-43, November.
  43. Sornette, Didier & Woodard, Ryan & Yan, Wanfeng & Zhou, Wei-Xing, 2013. "Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4417-4428.
  44. Li Lin & Didier Sornette, 2015. ""Speculative Influence Network" during financial bubbles: application to Chinese Stock Markets," Papers 1510.08162, arXiv.org.
  45. Zhou, Wei & Huang, Yang & Chen, Jin, 2018. "The bubble and anti-bubble risk resistance analysis on the metal futures in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 947-957.
  46. Ozkan Haykir & Ibrahim Yagli, 2022. "Speculative bubbles and herding in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-33, December.
  47. Nora CHIRIȚĂ & Ionuț NICA, 2020. "An approach to the use of cryptocurrencies in Romania using data mining technique," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(622), S), pages 5-20, Spring.
  48. Rangan Gupta & Jacobus Nel & Joshua Nielsen & Christian Pierdzioch, 2023. "Stock Market Volatility and Multi-Scale Positive and Negative Bubbles," Working Papers 202310, University of Pretoria, Department of Economics.
  49. Bikramaditya Ghosh & Spyros Papathanasiou & Georgios Pergeris, 2022. "Did cryptocurrencies exhibit log‐periodic power law signature during the second wave of COVID‐19?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 51(3), November.
  50. Hanwool Jang & Yena Song & Sungbin Sohn & Kwangwon Ahn, 2018. "Real Estate Soars and Financial Crises: Recent Stories," Sustainability, MDPI, vol. 10(12), pages 1-12, December.
  51. Rebecca Westphal & Didier Sornette, 2019. "Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model," Swiss Finance Institute Research Paper Series 19-29, Swiss Finance Institute.
  52. Vladimir Filimonov & Didier Sornette, 2013. "Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data," Papers 1308.6756, arXiv.org, revised Jul 2014.
  53. Élise Alfieri & Radu Burlacu & Geoffroy Enjolras, 2019. "Was the 2017 Crash of the Crypto-currency Market Predictable?," Post-Print hal-02952123, HAL.
  54. Guilherme Demos & Didier Sornette, 2017. "Lagrange regularisation approach to compare nested data sets and determine objectively financial bubbles' inceptions," Papers 1707.07162, arXiv.org.
  55. Shu, Min & Zhu, Wei, 2020. "Real-time prediction of Bitcoin bubble crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 548(C).
  56. Geuder, Julian & Kinateder, Harald & Wagner, Niklas F., 2019. "Cryptocurrencies as financial bubbles: The case of Bitcoin," Finance Research Letters, Elsevier, vol. 31(C).
  57. Yang, Jinyu & Dong, Dayong & Liang, Chao & Cao, Yang, 2024. "Monetary policy uncertainty and the price bubbles in energy markets," Energy Economics, Elsevier, vol. 133(C).
  58. Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette, 2019. "On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators," Quantitative Finance, Taylor & Francis Journals, vol. 19(5), pages 843-858, May.
  59. Westphal, Rebecca & Sornette, Didier, 2020. "Market impact and performance of arbitrageurs of financial bubbles in an agent-based model," Journal of Economic Behavior & Organization, Elsevier, vol. 171(C), pages 1-23.
  60. Kyriazis, Nikolaos & Papadamou, Stephanos & Corbet, Shaen, 2020. "A systematic review of the bubble dynamics of cryptocurrency prices," Research in International Business and Finance, Elsevier, vol. 54(C).
  61. Akcora, Begum & Kandemir Kocaaslan, Ozge, 2023. "Price bubbles in the European natural gas market between 2011 and 2020," Resources Policy, Elsevier, vol. 80(C).
  62. David Gabauer & Rangan Gupta & Sayar Karmakar & Joshua Nielsen, 2022. "Stock Market Bubbles and the Forecastability of Gold Returns (and Volatility)," Working Papers 202228, University of Pretoria, Department of Economics.
  63. Lin, L. & Ren, R.E. & Sornette, D., 2014. "The volatility-confined LPPL model: A consistent model of ‘explosive’ financial bubbles with mean-reverting residuals," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 210-225.
  64. Ji, Hongyun & Zhang, Han, 2024. "Application of the LPPL model in the identification and measurement of structural bubbles in the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  65. Spencer Wheatley & Didier Sornette & Tobias Huber & Max Reppen & Robert N. Gantner, 2018. "Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model," Papers 1803.05663, arXiv.org.
  66. Jang, Hanwool & Song, Yena & Ahn, Kwangwon, 2020. "Can government stabilize the housing market? The evidence from South Korea," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
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