EconPapers    
Economics at your fingertips  
 

Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model

Didier Sornette, Ryan Woodard, Wanfeng Yan and Wei-Xing Zhou
Additional contact information
Didier Sornette: ETH Zurich and Swiss Finance Institute
Ryan Woodard: ETH Zurich

No 11-29, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: The Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with finite-time singular crash hazard rates has been developed to describe the dynamics of financial bubbles and crashes. It has been applied successfully to a large variety of financial bubbles in many different markets. Having been developed for more than one decade, the JLS model has been studied, analyzed, used and criticized by several researchers. Much of this discussion is helpful for advancing the research. However, several serious misconceptions seem to be present within this collective conversation both on theoretical and empirical aspects. Several of these problems appear to stem from the fast evolution of the literature on the JLS model and related works. In the hope of removing possible misunderstanding and of catalyzing useful future developments, we summarize these common questions and criticisms concerning the JLS model and offer a synthesis of the existing state-of-the-art and best-practice advices.

Keywords: JLS model; financial bubbles; crashes; log-periodic power law; fit method; sloppiness; taboo search; bootstrap; probabilistic forecast (search for similar items in EconPapers)
JEL-codes: C14 C53 E47 G01 G17 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2011-08
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1908240 (application/pdf)

Related works:
Working Paper: Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model (2013) Downloads
Working Paper: Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette bubble Model Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1129

Access Statistics for this paper

More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().

 
Page updated 2025-03-22
Handle: RePEc:chf:rpseri:rp1129