Another interesting implementation of LPPL model has been just published today. Stanislaw Drozdz and Pawel Oswiencimka in short paper predict that core stocks indexes will face significant correction. A quote:
Based on our ”finance-prediction-oriented” methodology which involves such elements as log-periodic self-similarity, the universal preferred scaling factor 2, and allows a phenomenon of the ”super-bubble” we analyze the 2009 world stock market (here represented by the S&P500, Hang Seng and WIG) development. We identify elements that indicate the third decade of September 2009 as a time limit for the present bull market phase which is thus to be followed by a significant correction
Based on our ”finance-prediction-oriented” methodology which involves such elements as log-periodic self-similarity, the universal preferred scaling factor 2, and allows a phenomenon of the ”super-bubble” we analyze the 2009 world stock market (here represented by the S&P500, Hang Seng and WIG) development. We identify elements that indicate the third decade of September 2009 as a time limit for the present bull market phase which is thus to be followed by a significant correction
3 comments:
Dear Piotr,
Fraclab and wavelets reach the same conclusion. Is there any way to find the implementation of Sornette's model in Matlab?
Best Regards
Fractal signals say the same: the convergence in any time horizon of the different market players has increased abruptly. You can implement it through Fraclab.
Is there any way to find matlab codes for the Sornette's model?
Regards
Cano
I do appologize to leave your comments without the anwser so long. Matlab is a good enviroment for LPPL estimations. Lomb periodogram MAtlab code to detect LPPL you can find here: http://www.mathworks.com/matlabcentral/fileexchange/993
. For quick LPPL fits I use MAtlab's CFTool.
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