Early warning indicator for financial crashes using the log periodic power law
AbstractIn this article, we apply the Log Periodic Power Law (LPPL), introduced by Johansen et al. (2000), for capturing the recent stock market crash in the German stock index (Deutscher Aktien Index, DAX). The contribution of this article consists not only in describing the historical crash by the LPPL, but also in demonstrating how the LPPL can be used as an early warning indicator for financial crashes.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 19 (2012)
Issue (Month): 15 (October)
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Web page: http://www.tandfonline.com/RAEL20
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- Fry, John, 2013. "Bubbles, shocks and elementary technical trading strategies," MPRA Paper 47052, University Library of Munich, Germany.
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