LPPL模型参考学习资料.pdfVIP

The mechanism underlying Log Periodic Power Law fits to financial crashes David S. Br´ee Institute for Scientific Interchange, Torino, Italy and University of Manchester, U.K. Nathan Joseph, Aston University, U.K. Symposium on agent-based modeling, risk, and finance Fribourg, 8-9 November 2007 1 raw HS index with log periodic model fitted on 15May1989 3500 Data Fitted Predict 3000 x e d n I 2500 0.52 3575.31352.509((1989.45t)*365) [10.195 cos(4.95 ln((1989.45t)*365) 1.7)] 2000 today 1987.8 1988 1988.2 1988.4 1988.6 1988.8 1989 1989.2 1989.4 1989.6 Date 2 Figure 1: LPPL fit to the bubble preceding the 1989 crash on Hang Seng 1 The Log Periodic Power Law: yt = A + B (tc − t)β 1 + C cos(ω log(tc − t) + φ) (1) where: yt 0 is the price (index), or the log of the price; A 0 the value of ytc at the critical time; B 0 the increase in yt over the time unit before the crash, if C were to be close to zero; |C | 1 is the proportional magnitude of the fluctuations around the exponential growth; tc 0 is the critical time; t t is any time into the bubble, preceding t ; c c β = 0.33 ± 0.18 is the exponent of the power law growth; ω = 6.36 ± 1.56