Detection of Bubbles in Tehran Stock Exchange Using Log-Periodic Power-Low Singularity Model
One of the essential factors that lead to severe disruptions in financial markets is price bubbles and subsequent crashes. Numerous models for detecting bubbles have been developed, one of which (LPPLS) has lately attracted considerable interest. This study aims to utilize this model to detect price...
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| Format: | Article |
| Language: | English |
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Iran Finance Association
2021-11-01
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| Series: | Iranian Journal of Finance |
| Subjects: | |
| Online Access: | https://www.ijfifsa.ir/article_144490_71234c475002337ee49fb85a84f16c92.pdf |
| _version_ | 1811215558786416640 |
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| author | Ali Namaki Mehrdad Haghgoo |
| author_facet | Ali Namaki Mehrdad Haghgoo |
| author_sort | Ali Namaki |
| collection | DOAJ |
| description | One of the essential factors that lead to severe disruptions in financial markets is price bubbles and subsequent crashes. Numerous models for detecting bubbles have been developed, one of which (LPPLS) has lately attracted considerable interest. This study aims to utilize this model to detect price bubbles in Tehran Stock Exchange's index (TEDPIX). Confidence multi-scale indicators for this model are presented by fitting the LPPLS model to the data of the TSE index from 2009 through 2020. The bubble is detected when the number of fits that are in our filter conditions increases which means the growth of the indicator's value. By applying this method on TSE data two significant crashes in 2013 and 2020 are detected. The proposed technique can be useful for market participants to detect financial crashes and bubbles. |
| first_indexed | 2024-04-12T06:24:32Z |
| format | Article |
| id | doaj.art-3f14b77067b942ac9e2f24277206eaf8 |
| institution | Directory Open Access Journal |
| issn | 2676-6337 2676-6345 |
| language | English |
| last_indexed | 2024-04-12T06:24:32Z |
| publishDate | 2021-11-01 |
| publisher | Iran Finance Association |
| record_format | Article |
| series | Iranian Journal of Finance |
| spelling | doaj.art-3f14b77067b942ac9e2f24277206eaf82022-12-22T03:44:11ZengIran Finance AssociationIranian Journal of Finance2676-63372676-63452021-11-0154526310.30699/ijf.2021.144490144490Detection of Bubbles in Tehran Stock Exchange Using Log-Periodic Power-Low Singularity ModelAli Namaki0Mehrdad Haghgoo1Assistant Prof., Department of Finance, Faculty of Management, University of Tehran, Tehran, Iran.MSc., Department of Finance, Faculty of Management, University of Tehran, Tehran, Iran.One of the essential factors that lead to severe disruptions in financial markets is price bubbles and subsequent crashes. Numerous models for detecting bubbles have been developed, one of which (LPPLS) has lately attracted considerable interest. This study aims to utilize this model to detect price bubbles in Tehran Stock Exchange's index (TEDPIX). Confidence multi-scale indicators for this model are presented by fitting the LPPLS model to the data of the TSE index from 2009 through 2020. The bubble is detected when the number of fits that are in our filter conditions increases which means the growth of the indicator's value. By applying this method on TSE data two significant crashes in 2013 and 2020 are detected. The proposed technique can be useful for market participants to detect financial crashes and bubbles.https://www.ijfifsa.ir/article_144490_71234c475002337ee49fb85a84f16c92.pdfprice bubbleslpplsconfidence multi-scale indicators modelfinancial crash |
| spellingShingle | Ali Namaki Mehrdad Haghgoo Detection of Bubbles in Tehran Stock Exchange Using Log-Periodic Power-Low Singularity Model Iranian Journal of Finance price bubbles lppls confidence multi-scale indicators model financial crash |
| title | Detection of Bubbles in Tehran Stock Exchange Using Log-Periodic Power-Low Singularity Model |
| title_full | Detection of Bubbles in Tehran Stock Exchange Using Log-Periodic Power-Low Singularity Model |
| title_fullStr | Detection of Bubbles in Tehran Stock Exchange Using Log-Periodic Power-Low Singularity Model |
| title_full_unstemmed | Detection of Bubbles in Tehran Stock Exchange Using Log-Periodic Power-Low Singularity Model |
| title_short | Detection of Bubbles in Tehran Stock Exchange Using Log-Periodic Power-Low Singularity Model |
| title_sort | detection of bubbles in tehran stock exchange using log periodic power low singularity model |
| topic | price bubbles lppls confidence multi-scale indicators model financial crash |
| url | https://www.ijfifsa.ir/article_144490_71234c475002337ee49fb85a84f16c92.pdf |
| work_keys_str_mv | AT alinamaki detectionofbubblesintehranstockexchangeusinglogperiodicpowerlowsingularitymodel AT mehrdadhaghgoo detectionofbubblesintehranstockexchangeusinglogperiodicpowerlowsingularitymodel |