金融市场反弹的诊断与预测
Diagnosis and Prediction of Market Rebounds in Financial Markets
摘要：
我们引入了“负泡沫”的概念，作为标准金融泡沫的镜像，其中正反馈机制可能导致短暂的加速价格下跌。为了模拟这些负泡沫，我们采用了Johansen-Ledoit-Sornette（JLS）模型的合理预期泡沫与风险率描述的集体购买压力的噪音交易者。在短暂的负泡沫期间发生的价格下跌可以被解释为一种有效的随机首付，理性代理人接受支付，希望从可能出现的反弹中获利。我们验证了该模型，表明它具有显着的预测能力，在确定主要市场反弹的时间。这个结果是通过使用一个通用的模式识别方法，它结合了在多个时间从动态校准的JLS模型获得的信息。误差图、贝叶斯推理和交易策略表明，用JLS模型对负泡沫进行校准，可以提取真实信息，获得真正的技巧。我们的结论是，负泡沫通常与大幅反弹或反弹相关联，这是崩溃终止标准泡沫的镜像。
英文摘要：
We introduce the concept of "negative bubbles" as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with a hazard rate describing the collective buying pressure of noise traders. The price fall occurring during a transient negative bubble can be interpreted as an effective random downpayment that rational agents accept to pay in the hope of profiting from the expected occurrence of a possible rally. We validate the model by showing that it has significant predictive power in identifying the times of major market rebounds. This result is obtained by using a general pattern recognition method which combines the information obtained at multiple times from a dynamical calibration of the JLS model. Error diagrams, Bayesian inference and trading strategies suggest that one can extract genuine information and obtain real skill from the calibration of negative bubbles with the JLS model. We conclude that negative bubbles are in general predictably associated with large rebounds or rallies, which are the mirror images of the crashes terminating standard bubbles.
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