A PRACTICAL ALGORITHM TO DETECT SUPEREXPONENTIAL BEHAVIOR IN FINANCIAL ASSET PRICE RETURNS

DOI10.1142/S0219024922500261zbMath1505.91371OpenAlexW4291123386MaRDI QIDQ5048584

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Publication date: 16 November 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024922500261

zbMATH Keywords

exponential integraltrading strategypower lawsfinancial bubblebubble time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Comparing nested data sets and objectively determining financial bubbles' inceptions
• CRASHES AS CRITICAL POINTS
• CHANGE-POINT ANALYSIS OF ASSET PRICE BUBBLES WITH POWER-LAW HAZARD FUNCTION
• Bayesian Analysis for the Social Sciences
• Unnamed Item

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