10
Feb
11

LPPL, una reseña

El blog Quantivity siempre regala curiosidad y rigurosidad en sus publicaciones. En su más reciente post hace una reseña del modelo Log-Periodic Power Law, ofrciendo una variada bibliografia para seguir aprendiendo sobre LPPL.

Mathematically, LPPL proposes price p of an instrument evolves at time t according to:

p(t) = A + B ( t_{c} - t )^{z} + C ( t_{c} - t)^{z} \cos (\omega \log ( t_{c} - t ) + \Phi )

where t_{c} is most probable time of crash, z is exponential growth, \omega is oscillation amplitude, and the remaining variables carry no structural interpretation (ABC, and \Phi). In other words: an oscillating, exponential model for price evolution. Intuition underlying crash prediction is essentially an appeal to the impossibility for continuation of exponential price growth.

 

 


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