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oktober 08, 2003
Analys av ekonomiska bubblor. Lomb-periodogram.
I Nature-artikeln Physicists predict Christmas crisis for UK housing market beskrivs en ny bubbla, nämligen i den brittiska fastighetsmarknaden.
"Mayhem may be in store" for the British property market, say scientists in California. They claim to see the "unmistakable signature of a strong unsustainable bubble" in UK house prices, which could burst around the end of this year.
There is no comparable danger in the US real-estate market, say Wei-Xing Zhou and Didier Sornette of the University of California, Los Angeles, despite fears among investors of a "bubble mentality".
...
Sornette believes that most market crashes arise from the internal dynamics of trade, rather than being a response to some external shock to the system. A crash, he suggests, is preceded by a period of very fast growth in economic indices, plus a series of wobbles or oscillations stretching over several years, which come increasingly close together.
Papret är 2000-2003 Real Estate Bubble in the UK but not in the USA av W.-X. Zhou och Didier Sornette.
Sournette har skrivit böckerna Why Stock Markets Crash: Critical Events in Complex Financial Systems och Critical Phenomena in Natural Sciences: Chaos, Fractals, Selforganization and Disorder: Concepts and Tools. Jag har läst ingendera. En intervju med honom finns här.
Lomb-periodogram
I papret visas bland annat Lomb-periodogram (google-sök). Det finns, upptäckte jag efter lite sökande, ett R-paket för att visa sådana: paketet nlt, (non)linear time series analysis, som finns här. Han som skapat paketet är Ottar Nordal Bjørnstad. Se även hans publikationer. Bjørnstad forskar dock inte i ekonomiska bubblor utan i dynamiska biologiska system.
Posted by hakank at oktober 8, 2003 09:43 FM Posted to Dynamiska system