Diagnosis and Prediction of Tipping Points in Financial Markets ( Log-Periodic Power Law Model (LPPL) for Bubble Detection )

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Alpha Beta
102
Alpha Beta  

Many studies exists for the Log-Periodic Power Law Model  (LPPL) for Bubble Detection based on the article " Diagnosis and Prediction of Tipping Points in Financial Markets Crashes and Rebounds by Didier Sornettea "  and his book  " Why Stock Markets Crash Critical Events in Complex Financial Systems

His work provides framework to detect bubbles and predict major changes in the market, and claims to have good accuracy 

I found several python codes on the internet, and I plan to research this area,  but I wonder if there is something done in MT4 on this field or not ?

Sergey Golubev
Moderator
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Sergey Golubev  

Forum on trading, automated trading systems and testing trading strategies

Something Interesting to Read

Sergey Golubev, 2019.06.29 17:55

Why Stock Markets Crash: Critical Events in Complex Financial Systems
by Didier Sornette

Why Stock Markets Crash: Critical Events in Complex Financial Systems

The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials. In this book, Didier Sornette boldly applies his varied experience in these areas to propose a simple, powerful, and general theory of how, why, and when stock markets crash.

Any investor or investment professional who seeks a genuine understanding of looming financial disasters should read this book. Physicists, geologists, biologists, economists, and others will welcome Why Stock Markets Crash as a highly original "scientific tale," as Sornette aptly puts it, of the exciting and sometimes fearsome--but no longer quite so unfathomable--world of stock markets.

Alpha Beta
102
Alpha Beta  

I came to first know about Didier Sornette from his TED talk 

https://www.ted.com/talks/didier_sornette_how_we_can_predict_the_next_financial_crisis?language=en

The guy is a genius he has a Phd and he is in the filed for many years

Here is a link with python code for the LPPL model 

https://boulderinvestment.tech/blog/2018/log-periodic-power-law-lppl-model-for-bubble-detection

How we can predict the next financial crisis
How we can predict the next financial crisis
  • Didier Sornette
  • www.ted.com
TED
Sergey Golubev
Moderator
111281
Sergey Golubev  

And I found few posts/threads on the forum related to it - 

----------------

  • #526 - Fast Fourier Transform - Cycle Extraction thread;
  • #2 - Advanced Cycle Analysis thread (with som e indicators uploaded such as Goertzel Browser indicators, absolutely_no_lag_lwma indicator, R-MESA-Instant_Spectrum, and more).
Sergey Golubev
Moderator
111281
Sergey Golubev  

More - 

============

Goetzel cycles

(look at Goertzel algorithm page in wikipedia)

  1. Goertzel indicators and how to use them - the post
  2. Goertzel browser indicator - the post  
  3. Goertzel browser - end point indicator - the post 
  4. Goertzel browser 1 indicator - the post 
  5. Goertzel browser 2 indicator - the post  
  6. Goertzel browser - end point 2 indicator - the post 
  7. Fourier extrapolation of Goertzel indicator and Fourier extrapolation of Goertzel 2.1 indicator - the post 
  8. Goertzel browser 3 indicator - the post 
  9. Goertzel browser 3 mtf indicator - the post 
  10. Goertzel browser 3 mtf-1 indicator - the post: It is interpolated and MTF version of Goertzel browser.
  11. Goertzel cycle indicator - the post 
  12. Goertzel browser 4 indicator - the post: Goetzel cycles calculation is used in this indicators to identify currently existing cycles in signal and that is the list of cycles that the indicator is writing out. Indicator itself is combining those waves into a single wave (that is the "composite wave" that has been mentioned a couple of times) which is showing much more "readable" information.
  13. Goertzel browser 5 indicator - the post 
  14. Goertzel browser 5.2 indicator - the post 
  15. Goertzel browser 5.2.1 indicator - the post 
  16. Goertzel browser 5.53 indicator - the post: Added "PeakSpan" parameter which allows to have more than one bar colored around the peak.
  17. Goertzel browser 5.1_CS_Detrend&Smooth indicator - the post 
============
Composite Fractal Behavior and its aplications
Composite Fractal Behavior and its aplications
  • 2014.03.23
  • www.mql5.com
In describing the cfb I am going to cheat : since it was invented by Jurik, here is what he is saying about it : What is the Theory Behind CFB...
Sergey Golubev
Moderator
111281
Sergey Golubev  
It's all that I found related to it here on mql5.
nevar
425
nevar  
Check Kris Kaufman's Parallax Research https://www.pfr.com/pfr/about.htm  Both Didier Sornette and  Kris Kaufman have  geophysics  background.
About - Parallax Financial Research
  • www.pfr.com
Parallax Financial Research, Inc., is a small scientific research boutique in Redmond, WA. The firm empowers professional money managers with a distinct edge through its unique fundamental and quantitative stock and commodity models. Our models are composed of individual "predictors" which are based on the financial application of both chaos...
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