Modellierung von Aktienkursen im Lichte der Komplexitätsforschung

  • This paper offers empirical evidence on the power of Sornette et al's [2001] model of bubbles and crashes regarding the German stock market between 1960 and 2009. We identify relevant time periods and describe them with the function given by Sornette et al's model. Our results show some evidence in predicting crashes with the understanding of logarithmic periodic structures that are hidden in the stock price trajectories. It was shown that for the DAX most of the relevant parameters determining the shape of the logarithmic periodic structures are lying in the expected interval researched by Sornette et al. Further more the paper implicitly shows that the point of time of former crashes can be predicted with the presented formula. We conclude that the concept of financial time series conceived as purely random objects should be generalised as to admit complexity.

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Metadaten
Author details:Benjamin Kauper, Karl-Kuno Kunze
URN:urn:nbn:de:kobv:517-opus-52285
Publication series (Volume number):Statistische Diskussionsbeiträge (49)
Publication type:Monograph/Edited Volume
Language:German
Publication year:2011
Publishing institution:Universität Potsdam
Release date:2011/04/19
Tag:Bubble Theory; Complexity Sciences; Crash Prediction; Econophysics; Nonlinear Dynamics; System Theory
Organizational units:Wirtschafts- und Sozialwissenschaftliche Fakultät / Wirtschaftswissenschaften
DDC classification:3 Sozialwissenschaften / 31 Statistiken / 310 Sammlungen allgemeiner Statistiken
JEL classification:C Mathematical and Quantitative Methods / C5 Econometric Modeling / C53 Forecasting and Other Model Applications
G Financial Economics / G1 General Financial Markets / G11 Portfolio Choice; Investment Decisions
G Financial Economics / G1 General Financial Markets / G14 Information and Market Efficiency; Event Studies
G Financial Economics / G1 General Financial Markets / G17 Financial Forecasting (Updated!)
License (German):License LogoKeine öffentliche Lizenz: Unter Urheberrechtsschutz
External remark:Zugleich gedruckt erschienen:
Kauper, Benjamin; Kunze, Karl-Kuno: Modellierung von Aktienkursen im Lichte der Komplexitätsforschung / Benjamin Kauper, Karl-Kuno Kunze. - Potsdam : Univ., 2011
(Statistische Diskussionsbeiträge ; 49)
ISSN 0949-068X
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