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Financial Crisis Observatory
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Financial Crisis Observatory

  #1 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
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Financial Crisis Observatory

For those who do not this guy Didier Sornette is is Professor on the Chair of Entrepreneurial Risks at the Swiss Federal Institute of Technology Zurich (he is a former researcher in Physics).

He has developed a theory stating that major financial crisis are not black swans but a class of event on their own following a completely different probability distribution than the ''regular'' events. In that sense they could be predicted (as opposed to black swans who are just the outliers of a power law distribution).

There is a lot of research papers from him and his associate available (most of them too technical to be fully understood, at least by me) but he has created a web site where he posts his analysis and the results are updated everyday.

Financial Crisis Observatory - ER D-MTEC ETH Zurich

it is really worth giving a look especially for those who trade a longer time frame.

And I have attached here some predictions he has made in the past

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
Attached Thumbnails
Financial Crisis Observatory-bubbles_binder.pdf  
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  #2 (permalink)
Trading Apprentice
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Wow...great stuff...but when you click on the tutorial, and then the links of supporting documentation...one gets 404 errors...

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  #3 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
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link and tutorial work on my side.

Just in case I copy paste what he call tutorial (it is very short it is just how to read his chart):


The indicators are based on the models and methods largely published by the group of Prof. D. Sornette on financial bubbles and crashes, which can also be read on this site (http://www.er.ethz.ch/publications/finance/bubbles_theory and http://www.er.ethz.ch/publications/finance/bubbles_empirical).

The red marks diagnose positive bubbles, associated with upward accelerating prices, which are susceptible to regime change in the form of crashes or volatile sideway plateaus.

The green marks diagnose negative bubbles, associated with downward accelerating prices, which are susceptible to change of regimes in the form of rallies or volatile sideway plateaus.

Clicking on the marks pulls up a graph with the price time series of the asset together with a DS-LPPL bubble indicator.

A positive value of the DS-LPPL bubble indicator suggests a future drop and/or higher volatility.

A negative value of the DS-LPPL bubble indicator suggests a rebound and/or higher volatility.

The value of each indicator at a given time is causal, i.e., it has been estimated based only on data prior to that time. The full indicator function provides useful insights on the time development of the bubble signals.

Four indicators are offered

early bubble warning, long time scale
bubble end flag, long time scale
early bubble warning, short time scale
bubble end flag, short time scale
Short time scale corresponds to 1month to 6 months.

Long time scale corresponds to 6 months to 3 years.

Important: Absence of signals does not necessarily imply absence of bubbles and/or of crisis risks.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #4 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,415 received

There is also a video of this guy on TED Talks. And a book that I've never read (but FatTails said that it is incomprehensible is you do not have a master degree in maths...)

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #5 (permalink)
Trading Apprentice
Carmel, Indiana
 
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In your message above...the two links in the verbiage you replicated...click on those...404

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  #6 (permalink)
Market Wizard
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Okina View Post
For those who do not this guy Didier Sornette is is Professor on the Chair of Entrepreneurial Risks at the Swiss Federal Institute of Technology Zurich (he is a former researcher in Physics).

He has developed a theory stating that major financial crisis are not black swans but a class of event on their own following a completely different probability distribution than the ''regular'' events. In that sense they could be predicted (as opposed to black swans who are just the outliers of a power law distribution).

There is a lot of research papers from him and his associate available (most of them too technical to be fully understood, at least by me) but he has created a web site where he posts his analysis and the results are updated everyday.

Financial Crisis Observatory - ER D-MTEC ETH Zurich

it is really worth giving a look especially for those who trade a longer time frame.

And I have attached here some predictions he has made in the past

Thanks for sharing Okina.

Ray Dalio published a 30-minutes video called "How the economic machine works" where he explains his own theory about any economic cycle. He believes that a recessionary period is inevitable in any economy.

It may be worth considering what relationship there may be between a bubble (which, by definition, means that sooner or later it will burst) and a recession.

I may be wrong, but to me a financial bubble means simply getting to a state of overleveraging, i.e. the economy reaches a point where the current pace of borrowing is no longer sustainable, and that's what triggers the recession.

Anyway, Dalio does a much better job than I do of explaining his model, attached here.


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