Dot-com and AI bubbles: Can data from the past be helpful to match the price bubble euphoria phase using dynamic time warping?

Marcin Potrykus

Finance Research Letters, 2024, vol. 67, issue PA

Abstract: The article investigates the existence of a price bubble in the artificial intelligence market, employing the Generalised Supremum Augmented Dickey-Fuller test and dynamic time warping methodology. It proposes a method to detect the end of the price bubble euphoria phase, generating an average profit of close to 7 % over 5 days and over 10.5 % over 20 days, with almost 90 % effectiveness. The study found that the AI market experienced a phase of euphoria due to the COVID-19 pandemic. Four companies – META PLATFORMS, WORKDAY, SALESFORCE and NVIDIA CORPORATION – were identified, whose stock prices currently resemble the euphoria phase.

Keywords: Price bubbles; Euphoria; GSADF test; Dynamic time warping (search for similar items in EconPapers)
JEL-codes: E3 G11 G12 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008298

DOI: 10.1016/j.frl.2024.105799

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