Published in:2021 JSM Proceedings, Alexandria, VA: American Statistical Association, 2084-2090
Extent:
1 Online-Ressource (7 p)
Language:
English
DOI:
10.2139/ssrn.3994802
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 8, 2021 erstellt
Description:
In this study, we perform a novel analysis of the 2015 financial bubble in the Chinese stock market by calibrating the Log Periodic Power Law Singularity (LPPLS) model to two important Chinese stock indices, SSEC and SZSC, from early 2014 to June 2015. The back tests of the 2015 Chinese stock market bubbles indicate that the LPPLS model can readily detect the bubble behavior of the faster-than-exponential increase corrected by the accelerating logarithm-periodic oscillations in the 2015 Chinese Stock market