Forecasting Financial Extremes: A Network Degree Measure of Super-Exponential Growth

@inproceedings{Yan2015ForecastingFE,
  title={Forecasting Financial Extremes: A Network Degree Measure of Super-Exponential Growth},
  author={Wanfeng Yan and Edgar van Tuyll van Serooskerken and Tobias Preis},
  booktitle={PloS one},
  year={2015}
}
  • Wanfeng Yan, Edgar van Tuyll van Serooskerken, Tobias Preis
  • Published in PloS one 2015
  • Economics, Medicine
  • Investors in stock market are usually greedy during bull markets and scared during bear markets. The greed or fear spreads across investors quickly. This is known as the herding effect, and often leads to a fast movement of stock prices. During such market regimes, stock prices change at a super-exponential rate and are normally followed by a trend reversal that corrects the previous overreaction. In this paper, we construct an indicator to measure the magnitude of the super-exponential growth… CONTINUE READING

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