Extreme events on the financial market has become an important and Rebounds
(2014) FMS820 20141Mathematical 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:
http://lup.lub.lu.se/student-papers/record/4611240
- author
- Bergstrand, David
- supervisor
- organization
- course
- FMS820 20141
- year
- 2014
- 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}}, }