Liquidity crisis detection: an application of log-periodic power law structures to default prediction

DOI10.1016/j.physa.2013.04.009zbMath1402.91971OpenAlexW2116640959WikidataQ58920638 ScholiaQ58920638MaRDI QIDQ1673114

Cornelia Denz, Jan Henrik Wosnitza

Publication date: 11 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2013.04.009

zbMATH Keywords

econophysicsbailoutdefault estimationdiscrete scale-invariancelog-periodic power law

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

Related Items (1)

Can log-periodic power law structures arise from random fluctuations?

Uses Software

• fmincon

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• 2000-2003 real estate bubble in the UK but not in the USA
• A stable and robust calibration scheme of the log-periodic power law model
• Predicting critical crashes? A new restriction for the free variables
• Critical market crashes
• Log-periodic self-similarity: an emerging financial law?
• Scatter Search and Local NLP Solvers: A Multistart Framework for Global Optimization
• DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES
• CRASHES AS CRITICAL POINTS
• Detecting log-periodicity in a regime-switching model of stock returns
• A statistical analysis of log-periodic precursors to financial crashes^*
• Significance of log-periodic precursors to financial crashes
• More on a statistical analysis of log-periodic precursors to financial crashes
• The US 2000‐2002 market descent: How much longer and deeper?
• A Bayesian analysis of log-periodic precursors to financial crashes
• NONPARAMETRIC ANALYSES OF LOG-PERIODIC PRECURSORS TO FINANCIAL CRASHES

This page was built for publication: Liquidity crisis detection: an application of log-periodic power law structures to default prediction