文献类型：期刊文献

英文题名：Clarifications to questions and criticisms on the Johansen-Ledoit-Sornette financial bubble model

作者：Sornette, Didier[1,2];Woodard, Ryan[1];Yan, Wanfeng[1];Zhou, Wei-Xing[3]

机构：[1]ETH, Dept Management Technol & Econ, Kreuzpl 5, CH-8032 Zurich, Switzerland;[2]Univ Geneva, Swiss Finance Inst, CH-1211 Geneva 4, Switzerland;[3]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China

年份：2013

卷号：392

期号：19

起止页码：4417

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20133016533105);WOS:【SSCI(收录号:WOS:000322750200023)，SCI-EXPANDED(收录号:WOS:000322750200023)】；

基金：Wei-Xing Zhou acknowledges financial support from the National Natural Science Foundation of China (11075054), and the Fundamental Research Funds for the Central Universities. This work was partially supported by ETH Research Grant ETH-31 10-3 "Testing the predictability of financial bubbles and of systemic instabilities".

语种：英文

外文关键词：JLS model; Financial bubbles; Crashes; Log-periodic power law; Probabilistic forecast

摘要：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 over a decade ago, 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 literature both on theoretical and empirical aspects. Several of these problems 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 synthesize the current state of the art and existing best practice. Crown Copyright (C) 2013 Published by Elsevier B.V. All rights reserved.