Diagnostic and forecast of future bubbles and crashes

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• Sornette, D (ETH Zrich)
• Tuesday 19 November 2013, 14:50-15:40
• Seminar Room 2, Newton Institute Gatehouse.

If you have a question about this talk, please contact Mustapha Amrani.

Institute distinguished event

We report recent advances on the calibration of financial bubbles, defined as transient super-exponential stochastic price trajectories that reflect positive feedbacks. The results include advanced methods of calibration to address the quasi-degenerate or soft-mode problem in the estimation procedure, the FTS -GARCH model (finite-time singularity GARCH ) and the use of self-consistent rational expectation bubble models with stochastic finite-time singularities. We also present results of the Financial Crisis Observatory (www.er.ethz.ch/fco) at ETH Zurich, which aims at testing and quantifying rigorously, in a systematic way and on a large scale the hypothesis that financial bubbles can diagnosed with a rigorous scientific methodology before they burst.

This talk is part of the Isaac Newton Institute Seminar Series series.

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