Early warning on stock market bubbles via ellipsoidal clustering and inverse problems

Download

index.pdf

Date

2014

Author

Kürüm, Efsun

Metadata

Show full item record

Item Usage Stats

272
views

149
downloads

When a financial bubble bursts, not only a large number of people suffer directly in society, but it also affects the entire economy. Therefore, it is important to develop an early warning using mathematics-supported tools that aims at a detection of bubbles. We introduce a new method which approaches the bubble concept geometrically by determining and evaluating ellipsoids. In fact, we generate a volume-based index via minimum-volume covering ellipsoid clustering method, and in order to visualize these ellipsoids, we utilize Radon transform from the theory of the inverse problems, in the form of figures. Analyses were conducted for US, Japan and China stock markets. In our study, we have observed that when the time approaches bubble-burst time, the volumes of the ellipsoids gradually decrease and, correspondingly, the figures obtained by Radon transform are becoming more “brilliant”, i.e., more strongly warning. The thesis ends with a conclusion and an outlook to future investigations.

Subject Keywords

Stock exchanges., Stock Market Bubble, 1995-2000., Assets (Accounting)., Ellipsoidal calculus., Inverse problems (Differential equations).

URI

http://etd.lib.metu.edu.tr/upload/12617059/index.pdf
https://hdl.handle.net/11511/23476

Collections

Graduate School of Applied Mathematics, Thesis

Suggestions

OpenMETU
Core

Modeling illiquidity premium and bid-ask prices of the financial securities Karimov, Azar; Weber, Gerhard Wilhelm; Teker, Suat; Department of Financial Mathematics (2016) When a financial bubble bursts, this affects the entire economy. Therefore, it is important to recognize bubbles as early as possible. In this thesis, we introduce a new approach to identify stock market bubbles by using illiquidity premium derived by employing Conic Finance theory. This theory is connected with liquidity effects and risk behavior of money markets. In financial markets, liquidity is an important quantity since it mirrors the asset's capability to be bought or sold without a significant chan...
Early warning on stock market bubbles via methods of optimization, clustering and inverse problems Kurum, Efsun; Weber, Gerhard-Wilhelm; İyigün, Cem (2018-01-01) In order to avoid destructive results of financial bubbles which affect the entire economy, it is important to develop an early-warning signalling. By using optimization-supported tools, we introduce a new method for an early-warning signalling which approaches the bubble concept geometrically by determining and evaluating ellipsoids. We generate a volume-based index via minimum-volume covering ellipsoid clustering method, and to visualize these ellipsoids, we utilize Radon transform from the theory of the ...
Memorandum on a new financial architecture and new regulations Mittnik, Stefan; Nell, Edward; Platen, Eckhart; Semmler, Willi; Chappe, Raphaele (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2009-6-1) The financial crisis is global and is deeply rooted in a decade-long misuse of the financial market for rent-seeking. The financial industry has largely abandoned its role as a service industry, supposedly charging reasonable fees for the services of spreading risk and allocating capital and credit. Instead it provides a market for corporate control –mergers and acquisitions– and a casino for betting on or hedging practically any kind of risk –the derivatives market–.
Smart Cities as Drivers of a Green Economy Balaban, Osman ( Elsevier: Academic Press, 2019-09-01) The current economic system is highly unsustainable. It has created an economic crisis and an ecological crisis, which seriously threaten the future of our planet and societies. Both crises could be overcome by transitioning to a green economy. The green economy concept is based on the idea that the conventional model of economic development is socially and environmentally unsustainable, and argues that we should move toward a new economy, which respects natural boundaries and ecological limits, and respond...
Information in the financial news: effect of market commentary on stock market performance Giray, Aynur; Danışoğlu, Seza; Department of Business Administration (2012) This paper studies the effect of investment sentiment on asset prices. A sentiment proxy is calculated by performing content analysis on the Wall Street Journal‘s "Heard on the Street‘ columns. This proxy is extracted by the principal component analysis of the word tags from the Harvard psychological dictionary that is used by the content analysis software General Inquirer. The relationship between stock prices, trading volume and the media sentiment proxy is estimated within the VAR context. Results sugges...

Citation Formats

E. Kürüm, “Early warning on stock market bubbles via ellipsoidal clustering and inverse problems,” Ph.D. - Doctoral Program, Middle East Technical University, 2014.