Skip to main content

LUP Student Papers

LUND UNIVERSITY LIBRARIES

Extreme events on the financial market has become an important and Rebounds

Bergstrand, David (2014) FMS820 20141
Mathematical Statistics
Abstract (Swedish)
Extreme events on the financial market has become an important and
high-attention topic. Several well know historical market crashes has
taken investors and academics with surprise and there is an urge to understand
these anomalous events. The Johansen-Ledoit-Sornette model
aims to describe speculative bubbles and anti bubbles on financial markets,
often ending in endogenous crashes or rebounds. In this thesis we
investigate the theoretical parameter constraints connected to the model
assumptions to see if they can be used in a technical manner to predict
endogenous crashes and rebounds on the equity and commodity market.
Previously presented parameter constraints as well as newly derived are
evaluated. The thesis also treats the... (More)
Extreme events on the financial market has become an important and
high-attention topic. Several well know historical market crashes has
taken investors and academics with surprise and there is an urge to understand
these anomalous events. The Johansen-Ledoit-Sornette model
aims to describe speculative bubbles and anti bubbles on financial markets,
often ending in endogenous crashes or rebounds. In this thesis we
investigate the theoretical parameter constraints connected to the model
assumptions to see if they can be used in a technical manner to predict
endogenous crashes and rebounds on the equity and commodity market.
Previously presented parameter constraints as well as newly derived are
evaluated. The thesis also treats the distribution of when extreme events
take place from a business cycle perspective. (Less)
Please use this url to cite or link to this publication:
author
Bergstrand, David
supervisor
organization
course
FMS820 20141
year
type
H2 - Master's Degree (Two Years)
subject
language
English
id
4611240
date added to LUP
2014-08-26 15:08:07
date last changed
2014-08-26 15:08:07
@misc{4611240,
  abstract     = {{Extreme events on the financial market has become an important and
high-attention topic. Several well know historical market crashes has
taken investors and academics with surprise and there is an urge to understand
these anomalous events. The Johansen-Ledoit-Sornette model
aims to describe speculative bubbles and anti bubbles on financial markets,
often ending in endogenous crashes or rebounds. In this thesis we
investigate the theoretical parameter constraints connected to the model
assumptions to see if they can be used in a technical manner to predict
endogenous crashes and rebounds on the equity and commodity market.
Previously presented parameter constraints as well as newly derived are
evaluated. The thesis also treats the distribution of when extreme events
take place from a business cycle perspective.}},
  author       = {{Bergstrand, David}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Extreme events on the financial market has become an important and Rebounds}},
  year         = {{2014}},
}