Predicting Crashes of Chinese Stock Market Based on Log-Periodic Power Law

摘要：

By log-periodic power law, this article predicts the collapse time of two stock market bubbles in China from October 2008 to August 2009 financial crisis. Shang Hai & Shen Zhen 300 index and representative shares in key industries of the economy are selected for this analysis. Relative conclusion indicates that Chinese Stock market index and these shares situations before crashes are similar to Log-Periodic Power Law model distribution. Fluctuation range of market index between predicted and actual value is 0,2 and about 65％ of selected shares is within 03 days for above-mentioned two periods; which shows a good availability of logarithm periodic power law model in predicting peak time and it can serve as certain reference to investment risk management

关键词： log-periodic power law susceptibility complex network

作者: Liu Zhe Zhuang Xin-tian Yuan Ying

作者单位: School of Business Administration Northeastern University Shenyang 110004, China.

会议类型: 国际会议

会议名称: The 2010 International Conference on Computer Application and System Modeling(2010计算机应用与系统建模国际会议 ICCASM 2010)

会议地点: 太原

会议语种:英文

页码: 434-437

在线出版日期: 2010-10-22（万方平台首次上网日期，不代表论文的发表时间）