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Matematicheskoe modelirovanie, 2011, Volume 23, Number 8, Pages 65–74 (Mi mm3143)  

Numerical-analytical algorithm for estimating the predictability of crashes

A. B. Shapovalab, V. Yu. Popovac

a Financial University of the Russian Government
b International Institute of Earthquake Prediction Theory RAS
c M. V. Lomonosov Moscow State University
References:
Abstract: The papers construct a numerical-analytical algorithm predicting that within a certain time after the occurrence of collapse the next crash comes. This algorithm is applied to a sequence of crashes of most important stock market indices. The predictability of all studied sequences is justified to be essentially above the unpredictability of the Poisson process in terms of the modified errors of the first and second kind. Computer simulations show that, with respect to their predictive properties, European and U.S. indices could be combined into one class that does not include Russian and Asian indices.
Keywords: prediction algorithm, error diagram, financial time series.
Received: 21.03.2011
Bibliographic databases:
Document Type: Article
UDC: 519.254
Language: Russian
Citation: A. B. Shapoval, V. Yu. Popov, “Numerical-analytical algorithm for estimating the predictability of crashes”, Matem. Mod., 23:8 (2011), 65–74
Citation in format AMSBIB
\Bibitem{ShaPop11}
\by A.~B.~Shapoval, V.~Yu.~Popov
\paper Numerical-analytical algorithm for estimating the predictability of crashes
\jour Matem. Mod.
\yr 2011
\vol 23
\issue 8
\pages 65--74
\mathnet{http://mi.mathnet.ru/mm3143}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2896183}
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