Financial bubbles analysis with a cross-sectional estimator
Frederic Abergel, Nicolas Huth, Ioane Muni Toke
TL;DR
This paper introduces and empirically tests a simple statistical method for analyzing financial bubbles, exploring its connection with stock correlation structures to improve understanding of bubble dynamics.
Contribution
It presents a straightforward statistical tool for bubble analysis and investigates its theoretical link with stock correlations, supported by extensive empirical validation.
Findings
The statistical tool effectively identifies bubble periods.
A significant link between the tool's signals and stock correlation changes.
Empirical results support the method's robustness across different datasets.
Abstract
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical tool and investigate analytically its link with stocks correlation structure.
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Taxonomy
TopicsComplex Systems and Time Series Analysis · Financial Risk and Volatility Modeling · Market Dynamics and Volatility