Prediction of Bubbles, Crashes, and Antibubbles

2017 ◽  
Author(s):  
Didier Sornette
Keyword(s):  
Stock Market ◽  
Case Studies ◽  
Power Law ◽  
Statistical Tests ◽  
Statistical Significance ◽  
Large Market ◽  
Simple Power ◽  
Market Crashes ◽  
Successes And Failures

This chapter examines how to predict stock market crashes and other large market events as well as the limitations of forecasting, in particular in terms of the horizon of visibility and expected precision. Several case studies are presented in detail, with a careful count of successes and failures. After providing an overview of the nature of predictions, the chapter explains how to develop and interpret statistical tests of log-periodicity. It then considers the concept of an “antibubble,” using as an example the Japanese collapse from the beginning of 1990 to the present. It also describes the first guidelines for prediction, a hierarchy of prediction schemes that includes the simple power law, and the statistical significance of the forward predictions.

scholarly journals Crash Diagnosis and Price Rebound Prediction in NYSE Composite Index Based on Visibility Graph and Time-Evolving Stock Correlation Network

Entropy ◽  
2021 ◽  
Vol 23 (12) ◽  
pp. 1612
Author(s):  
Yuxuan Xiu ◽  
Guanying Wang ◽  
Wai Kin Victor Chan
Keyword(s):  
Stock Market ◽  
Power Law ◽  
Stock Exchange ◽  
Composite Index ◽  
Detection Algorithm ◽  
Value Theory ◽  
Visibility Graph ◽  
Stock Index ◽  
Power Law Model ◽  
Market Crashes

This study proposes a framework to diagnose stock market crashes and predict the subsequent price rebounds. Based on the observation of anomalous changes in stock correlation networks during market crashes, we extend the log-periodic power-law model with a metric that is proposed to measure network anomalies. To calculate this metric, we design a prediction-guided anomaly detection algorithm based on the extreme value theory. Finally, we proposed a hybrid indicator to predict price rebounds of the stock index by combining the network anomaly metric and the visibility graph-based log-periodic power-law model. Experiments are conducted based on the New York Stock Exchange Composite Index from 4 January 1991 to 7 May 2021. It is shown that our proposed method outperforms the benchmark log-periodic power-law model on detecting the 12 major crashes and predicting the subsequent price rebounds by reducing the false alarm rate. This study sheds light on combining stock network analysis and financial time series modeling and highlights that anomalous changes of a stock network can be important criteria for detecting crashes and predicting recoveries of the stock market.

The Economic Impact of the Covid-19 Outbreak : Evidence from Indonesia

2020 ◽  
Vol 5 (3) ◽  
Author(s):  
Ahmad Ulil Albab Al Umar ◽  
Herninda Pitaloka ◽  
Eka Resmi Hartati ◽  
Dessy Fitria
Keyword(s):  
Stock Market ◽  
Economic Impact ◽  
Case Studies ◽  
Capital Market ◽  
Descriptive Study ◽  
Current Case ◽  
Quantitative Descriptive Study ◽  
Quantitative Descriptive ◽  
The Capital Market

This research aims to analyses the economic impact of the COVID 19 outbreak toward the stock market in Indonesia. This research is a quantitative descriptive study by collecting various sources from journals and current case studies about COVID 19 outbreak. The technique of collecting data uses quotations and related news. The results in this study are COVID-19 pandemic outbreak has a pretty bad impact on the capital market, where the occurrence of this pandemic has affected many investors in making investment actions that are very influential on the Stock Market.  

scholarly journals X-ray Properties of 3C 111: Separation of Primary Nuclear Emission and Jet Continuum

Universe ◽  
2020 ◽  
Vol 6 (11) ◽  
pp. 219
Author(s):  
Elena Fedorova ◽  
B.I. Hnatyk ◽  
V.I. Zhdanov ◽  
A. Del Popolo
Keyword(s):  
Accretion Disk ◽  
Power Law ◽  
Line Emission ◽  
High Energy ◽  
Power Law Model ◽  
X Ray ◽  
Additional Information ◽  
Observational Dataset ◽  
Simple Power ◽  
Photon Index

3C111 is BLRG with signatures of both FSRQ and Sy1 in X-ray spectrum. The significant X-ray observational dataset was collected for it by INTEGRAL, XMM-Newton, SWIFT, Suzaku and others. The overall X-ray spectrum of 3C 111 shows signs of a peculiarity with the large value of the high-energy cut-off typical rather for RQ AGN, probably due to the jet contamination. Separating the jet counterpart in the X-ray spectrum of 3C 111 from the primary nuclear counterpart can answer the question is this nucleus truly peculiar or this is a fake “peculiarity” due to a significant jet contribution. In view of this question, our aim is to estimate separately the accretion disk/corona and non-thermal jet emission in the 3C 111 X-ray spectra within different observational periods. To separate the disk/corona and jet contributions in total continuum, we use the idea that radio and X-ray spectra of jet emission can be described by a simple power-law model with the same photon index. This additional information allows us to derive rather accurate values of these contributions. In order to test these results, we also consider relations between the nuclear continuum and the line emission.

scholarly journals Power Laws in Economics: An Introduction

2016 ◽  
Vol 30 (1) ◽  
pp. 185-206 ◽  
Author(s):  
Xavier Gabaix
Keyword(s):  
Stock Market ◽  
Power Law ◽  
Power Laws ◽  
Economic Fluctuations ◽  
Formal Definition ◽  
Empirical Power

Many of the insights of economics seem to be qualitative, with many fewer reliable quantitative laws. However a series of power laws in economics do count as true and nontrivial quantitative laws—and they are not only established empirically, but also understood theoretically. I will start by providing several illustrations of empirical power laws having to do with patterns involving cities, firms, and the stock market. I summarize some of the theoretical explanations that have been proposed. I suggest that power laws help us explain many economic phenomena, including aggregate economic fluctuations. I hope to clarify why power laws are so special, and to demonstrate their utility. In conclusion, I list some power-law-related economic enigmas that demand further exploration. A formal definition may be useful.

scholarly journals HELICAL MAGNETIC FIELDS FROM INFLATION

2009 ◽  
Vol 18 (09) ◽  
pp. 1395-1411 ◽  
Author(s):  
LEONARDO CAMPANELLI
Keyword(s):  
Magnetic Fields ◽  
Power Law ◽  
Background Field ◽  
Wave Number ◽  
Conformal Time ◽  
De Sitter ◽  
Simple Power ◽  
Dimensionless Constant ◽  
Real Positive Number

We analyze the generation of seed magnetic fields during de Sitter inflation considering a noninvariant conformal term in the electromagnetic Lagrangian of the form [Formula: see text], where I(ϕ) is a pseudoscalar function of a nontrivial background field ϕ. In particular, we consider a toy model that could be realized owing to the coupling between the photon and either a (tachyonic) massive pseudoscalar field or a massless pseudoscalar field nonminimally coupled to gravity, where I follows a simple power law behavior I(k,η) = g/(-kη)β during inflation, while it is negligibly small subsequently. Here, g is a positive dimensionless constant, k the wave number, η the conformal time, and β a real positive number. We find that only when β = 1 and 0.1 ≲ g ≲ 2 can astrophysically interesting fields be produced as excitation of the vacuum, and that they are maximally helical.

VIKOR power law-based customer-oriented FMEA with complete unique risk priority numbers

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Randula L. Hettiarachchi ◽  
Pisut Koomsap ◽  
Panarpa Ardneam
Keyword(s):  
Case Studies ◽  
Power Law ◽  
Design Methodology ◽  
Service Sector ◽  
Failure Modes ◽  
Risk Priority Number ◽  
Effect Analysis ◽  
Content Type ◽  
Industrial Sectors ◽  
Inherent Problem

PurposeAn inherent problem on risk priority number (RPN) value duplication of traditional failure modes and effect analysis (FMEA) also exists in two customer-oriented FMEAs. One has no unique value, and another has 1% unique values out of 4,000 possible values. The RPN value duplication has motivated the development of a new customer-oriented FMEA presented in this paper to achieve practically all 4,000 unique values and delivering reliable prioritization.Design/methodology/approachThe drastic improvement is the result of power-law and VlseKriterijumska Optimizacija I Kompromisno Resenje (VIKOR). By having all three risk factors in a power-law form, all unique values can be obtained, and by applying VIKOR to these power-law terms, the prioritization is more practical and reliable.FindingsThe proposed VIKOR power law-based customer-oriented FMEA can achieve practically all 4,000 unique values and is tested with two case studies. The results are more logical than the results from the other two customer-oriented FMEAs.Research limitations/implicationsThe evaluation has been done on two case studies for the service sector. Therefore, additional case studies in other industrial sectors will be required to confirm the effectiveness of this new customer-oriented RPN calculation.Originality/valueAchieving all 1,000 unique values could only be done by having experts tabulate all possible combinations for the traditional FMEA. Therefore, achieving all 4,000 unique values will be much more challenging. A customer-oriented FMEA has been developed to achieve practically all 4,000 unique risk priority numbers, and that the prioritization is more practical and reliable. Furthermore, it has a connection to the traditional FMEA, which helps explain the traditional one from a broader perspective.

Bounded Elastic Moduli Multiplier Technique for Limit Loads: Part 2 - Case Studies

2021 ◽  
Author(s):  
Sathya Prasad Mangalaramanan
Keyword(s):  
Lower Bound ◽  
Case Studies ◽  
Power Law ◽  
Elastic Moduli ◽  
New Method ◽  
Stress Distributions ◽  
Limit Loads ◽  
Elastic Plastic ◽  
Thick Cylinder ◽  
Better Than

Abstract An accompanying paper provides the theoretical underpinnings of a new method to determine statically admissible stress distributions in a structure, called Bounded elastic moduli multiplier technique (BEMMT). It has been shown that, for textbook cases such as thick cylinder, beam, etc., the proposed method offers statically admissible stress distributions better than the power law and closer to elastic-plastic solutions. This paper offers several examples to demonstrate the robustness of this method. Upper and lower bound limit loads are calculated using iterative elastic analyses using both power law and BEMMT. These results are compared with the ones obtained from elastic-plastic FEA. Consistently BEMMT has outperformed power law when it comes to estimating lower bound limit loads.

Audience Costs and the Credibility of Commitments

2021 ◽  
Keyword(s):  
International Relations ◽  
Case Studies ◽  
Statistical Tests ◽  
The Political ◽  
Audience Costs ◽  
Qualitative Case Studies ◽  
Political Costs ◽  
Large N ◽  
Survey Experiments ◽  
Methodological Approaches

Threats and promises are prevalent in international relations (IR). However, deception is also a possibility in diplomacy. Why should one state believe that another state is not merely bluffing? How can a state credibly communicate its threats and promises to others? The IR scholarship suggests that one way by which a state may make its commitments credible is by generating audience costs—the political costs a leader suffers from publicly issuing a threat or promise and then failing to follow through. There is a broad and methodologically diverse literature on the existence, mechanisms, and effectiveness of audience costs. The concept of audience costs has also been applied to explain many phenomena in IR. This article examines the IR scholarship on audience costs across different methodological approaches, including qualitative case studies, large-N statistical tests, and survey experiments.

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