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首页> 外文期刊>Physica, A. Statistical mechanics and its applications >Diagnosis and prediction of rebounds in financial markets
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Diagnosis and prediction of rebounds in financial markets

机译：金融市场反弹的诊断和预测

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摘要

We introduce the concept of "negative bubbles" as the mirror (but not necessarily exactly symmetric) image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the JohansenLedoitSornette (JLS) model of rational expectation bubbles with a hazard rate describing the collective buying pressure of noise traders. The price fall occurring during a transient negative bubble can be interpreted as an effective random down payment that rational agents accept to pay in the hope of profiting from the expected occurrence of a possible rally. We validate the model by showing that it has significant predictive power in identifying the times of major market rebounds. This result is obtained by using a general pattern recognition method that combines the information obtained at multiple times from a dynamical calibration of the JLS model. Error diagrams, Bayesian inference and trading strategies suggest that one can extract genuine information and obtain real skill from the calibration of negative bubbles with the JLS model. We conclude that negative bubbles are in general predictably associated with large rebounds or rallies, which are the mirror images of the crashes terminating standard bubbles.
机译：我们引入“负泡沫”的概念作为标准金融泡沫的镜像（但不一定是完全对称），在这种情况下，正反馈机制可能会导致价格加速下跌。为了对这些负泡沫进行建模，我们采用了理性预期泡沫的JohansenLedoitSornette（JLS）模型，其风险率描述了噪声交易者的集体购买压力。在短暂的负泡沫期间发生的价格下跌可以解释为理性代理商接受的有效随机首付，以期希望从可能出现的反弹中获利。我们通过显示模型在确定主要市场反弹时期方面具有重要的预测能力来验证该模型。通过使用常规模式识别方法获得此结果，该方法结合了从JLS模型的动态校准多次获得的信息。错误图，贝叶斯推断和交易策略表明，人们可以使用JLS模型提取真实信息并通过对负气泡进行校准来获得实际技能。我们得出结论，通常可以预见，负气泡与大的反弹或反弹相关，后者是终止标准气泡的崩溃的镜像。

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