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...
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ftrepec:oai:RePEc:wsi:wschap:9789813223851_0009 2023-05-15T16:48:17+02:00 A Stopping Rule Model for Exiting Bubble-like Markets with Applications STOCK MARKET CRASHES Predictable and Unpredictable and What To Do About Them William T. Ziemba Sebastien Lleo Mikhail Zhitlukhin http://www.worldscientific.com/doi/pdf/10.1142/9789813223851_0009 http://www.worldscientific.com/doi/abs/10.1142/9789813223851_0009 unknown http://www.worldscientific.com/doi/pdf/10.1142/9789813223851_0009 http://www.worldscientific.com/doi/abs/10.1142/9789813223851_0009 book ftrepec 2020-12-04T13:30:44Z 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 Book Iceland RePEc (Research Papers in Economics) |
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RePEc (Research Papers in Economics) |
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| description |
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 |
| format |
Book |
| author |
William T. Ziemba Sebastien Lleo Mikhail Zhitlukhin |
| spellingShingle |
William T. Ziemba Sebastien Lleo Mikhail Zhitlukhin A Stopping Rule Model for Exiting Bubble-like Markets with Applications |
| author_facet |
William T. Ziemba Sebastien Lleo Mikhail Zhitlukhin |
| author_sort |
William T. Ziemba |
| title |
A Stopping Rule Model for Exiting Bubble-like Markets with Applications |
| title_short |
A Stopping Rule Model for Exiting Bubble-like Markets with Applications |
| title_full |
A Stopping Rule Model for Exiting Bubble-like Markets with Applications |
| title_fullStr |
A Stopping Rule Model for Exiting Bubble-like Markets with Applications |
| title_full_unstemmed |
A Stopping Rule Model for Exiting Bubble-like Markets with Applications |
| title_sort |
stopping rule model for exiting bubble-like markets with applications |
| url |
http://www.worldscientific.com/doi/pdf/10.1142/9789813223851_0009 http://www.worldscientific.com/doi/abs/10.1142/9789813223851_0009 |
| genre |
Iceland |
| genre_facet |
Iceland |
| op_relation |
http://www.worldscientific.com/doi/pdf/10.1142/9789813223851_0009 http://www.worldscientific.com/doi/abs/10.1142/9789813223851_0009 |
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1766038390811131904 |