Search Results - subject:"Log Periodic Power Law"

Log periodic power analysis of critical crashes: Evidence from the Portuguese stock market

Gonçalves, Tiago Cruz; Quiñones Borda, Jorge Victor; … - In: Economies 10 (2022) 1, pp. 1-19

-similar oscillatory time singularities to analyze stock market crashes. We test the Log Periodic Power Law/Model (LPPM) to analyze the …

Persistent link: https://www.econbiz.de/10013199957

Bubble in carbon credits during COVID-19: Financial instability or positive impact ('Minsky' or 'Social')?

Ghosh, Bikramaditya; Papathanasiou, Spyros; Dar, Vandita; … - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-16

predictable, provided their pattern matches the log periodic power law (LPPL) with specific stylized facts. A "Minsky moment … Carbon Credit tracking ETFs), and the SOLCARBT index during the COVID-19 pandemic period by adopting the log-periodic power … law model (LPPL) methodology, which has been widely used, over the past decade, for detecting bubbles and crashes in …

Persistent link: https://www.econbiz.de/10014332568

Log periodic power analysis of critical crashes : evidence from the Portuguese stock market

Gonçalves, Tiago Cruz; Quiñones Borda, Jorge Victor; … - In: Economies : open access journal 10 (2022) 1, pp. 1-19

-similar oscillatory time singularities to analyze stock market crashes. We test the Log Periodic Power Law/Model (LPPM) to analyze the …

Persistent link: https://www.econbiz.de/10012800613

Bubble in carbon credits during COVID-19 : financial instability or positive impact (“Minsky” or “Social”)?

Ghosh, Bikramaditya; Papathanasiou, Spyros; Dar, Vandita; … - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-16

Persistent link: https://www.econbiz.de/10013382168

Does every cloud (bubble) have a silver lining? : an investigation of ESG financial markets

Foglia, Matteo; Miglietta, Federica - In: Journal of behavioral and experimental finance 42 (2024), pp. 1-11

ESG markets. By using the log-periodic power law singularity framework, we identified several periods of positive and …

Persistent link: https://www.econbiz.de/10014547955

Bubbles for Fama from Sornette

Zhao, Dongshuai; Sornette, Didier - 2021

Galvanized by the claims of Greenwood et al. in Bubbles for Fama that “a sharp price increase of an industry portfolio does not, on average, predict unusually low returns going forward”, and Fama’s quote (June, 2016) that “Statistically, people have not come up with ways of identifying...

Persistent link: https://www.econbiz.de/10012800716

Metcalfe's law and herding behaviour in the cryptocurrencies market

Pele, Daniel Traian; Mazurencu-Marinescu-Pele, Miruna - 2019

In this paper, the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe's law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's...

Persistent link: https://www.econbiz.de/10011984445

Metcalfe's law and log-period power laws in the cryptocurrencies market

Pele, Daniel Traian; Mazurencu-Marinescu-Pele, Miruna - In: Economics: The Open-Access, Open-Assessment E-Journal 13 (2019) 2019-29, pp. 1-26

In this paper the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe's law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's law...

Persistent link: https://www.econbiz.de/10012007754

Metcalfe's law and log-period power laws in the cryptocurrencies market

Pele, Daniel Traian; Mazurencu-Marinescu-Pele, Miruna - 2019

In this paper the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe’s law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's...

Persistent link: https://www.econbiz.de/10012007412

Comparing tests for identification of bubbles

Bertelsen, Kristoffer Pons - 2019 - This version: October 9, 2019

Persistent link: https://www.econbiz.de/10012316443