Detection of Bubbles in Tehran Stock Exchange Using Log-Periodic Power-Low Singularity Model

One of the essential factors that lead to severe disruptions in financial markets is price bubbles and subsequent crashes. Numerous models for detecting bubbles have been developed, one of which (LPPLS) has lately attracted considerable interest. This study aims to utilize this model to detect price bubbles in Tehran Stock Exchange's index (TEDPIX). Confidence multi-scale indicators for this model are presented by fitting the LPPLS model to the data of the TSE index from 2009 through 2020. The bubble is detected when the number of fits that are in our filter conditions increases which means the growth of the indicator's value. By applying this method on TSE data two significant crashes in 2013 and 2020 are detected. The proposed technique can be useful for market participants to detect financial crashes and bubbles.

• Publication year

  2021

• Venue

  Iranian journal of finance

• Publication date

  2021-11-01

• Fields of study

  Not labeled

• Identifiers
  DOI 10.30699/ijf.2021.144490
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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