Log-periodičke oscilacije u financijskim vremenskim nizovima

undergraduate thesis

• Title (english): Log-periodic oscillations in financial time series
• Author: Damjan Vinković
• Mentor: Zvonko Kostanjčar (mentor)
• Committee member: Zvonko Kostanjčar (predsjednik povjerenstva)
• Committee member: Marko Subašić (član povjerenstva)
• Committee member: Juraj Petrović (član povjerenstva)
• Granter: University of Zagreb; Faculty of Electrical Engineering and Computing; Zagreb
• Defense date and country: 2016-07-11, Croatia
• Scientific / art field, discipline and subdiscipline: TECHNICAL SCIENCES; Electrical Engineering

Abstract

Sornette (1996), Sornette and Johansen (1997), JLS (2000) predložili su da, prije
samih slomova tržišta, kretanje cijena dioniˇckih indeksa prati zakon potencije s logperiodi
ˇckim oscilacijama oko srednje vrijednosti vode´ci do kritiˇcne toˇcke koja opisuje
slom tržišta. Ovaj rad predstavlja orginalni Log-periodiˇcki zakon potencija (LPPL)
za modeliranje financijskih balona, upoznaje ˇcitatelja s nedostatcima modela te njegovim
mogu´cnostima. Prikazano je kako podesiti parametre modela pomo´cu razliˇcitih
optimizacijskih modela, te predstavlja najbolju. Prikazan je primjer korištenja ove
metodologije na skup dionica s Zagrebacˇke burze, te je takod¯er vidljiva moguc´nost
predikcije velikih korekcija cijena.

Abstract (english)

Sornette (1996), Sornette and Johansen (1997), JLS (2000) proposed that,
before market crashes, the movement of a stock price is best described
by a power law with log-periodic oscillations, leading to a critical point that describes
the beginning of the market crash. This paper reviews the original Log-Periodic Power
Law (LPPL) model for financial bubble modelling, introduces the reader to some of
its problems and possibilities it offers. It is shown how to fit this model with different
optimisation methods, and proposes the best one. An application of this methodology
to the stocks of the Zagreb stock exchange is displayed, where it is shown how some
of those price corrections could have been predicted.

• Keywords: Log-periodički zakon potencija; LPPL; balon; anti-balon; predikcija
• Keywords (english): Log-Periodic Power Law; LPPL; Bubble; Anti-Bubble; Forecasting
• Language: croatian
• URN:NBN: urn:nbn:hr:168:821943
• Study programme: Title: Electrical Engineering and Information Technology; Study programme type: university; Study level: undergraduate; Academic / professional title: sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka elektrotehnike i informacijske tehnologije (sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka elektrotehnike i informacijske tehnologije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Closed access
• Created on: 2018-02-06 14:19:35