A Stopping Rule Model for Exiting Bubble-like Markets with Applications
We present applications of a stochastic changepoint detection model in the context of bubble-like financial markets. The aim is to detect a direction change in a sequence of stock market or other asset index values as soon as it happens. A detection rule thus models an exit strategy in a possible ma...
| Main Authors: | , , |
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| Format: | Book |
| Language: | unknown |
| Subjects: | |
| Online Access: | http://www.worldscientific.com/doi/pdf/10.1142/9789813223851_0009 http://www.worldscientific.com/doi/abs/10.1142/9789813223851_0009 |
| Summary: | We present applications of a stochastic changepoint detection model in the context of bubble-like financial markets. The aim is to detect a direction change in a sequence of stock market or other asset index values as soon as it happens. A detection rule thus models an exit strategy in a possible market crash. We describe theoretical results in Sections 9.2 and apply them to several bubbles including markets in the US, China, Japan and Iceland in Sections 9.3–9.5. Stock Market Crashes, Brexit, Trump, Financial Bubbles |
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