Crash forecasting in the Korean stock market based on the log-periodic structure and pattern recognition
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Ko, Bonggyun | - |
dc.contributor.author | Song, Jae Wook | - |
dc.contributor.author | Chang, Woojin | - |
dc.date.accessioned | 2022-07-12T12:53:25Z | - |
dc.date.available | 2022-07-12T12:53:25Z | - |
dc.date.created | 2021-05-14 | - |
dc.date.issued | 2018-02 | - |
dc.identifier.issn | 0378-4371 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/150534 | - |
dc.description.abstract | The aim of this research is to propose an alarm index to forecast the crash of the Korean financial market in extension to the idea of Johansen-Ledoit-Sornette model, which uses the log-periodic functions and pattern recognition algorithm. We discover that the crashes of the Korean financial market can be classified into domestic and global crises where each category requires different window length of fitted datasets. Therefore, we add the window length as a new parameter to enhance the performance of alarm index. Distinguishing the domestic and global crises separately, our alarm index demonstrates more robust forecasting than previous model by showing the error diagram and the results of trading performance. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.title | Crash forecasting in the Korean stock market based on the log-periodic structure and pattern recognition | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Song, Jae Wook | - |
dc.identifier.doi | 10.1016/j.physa.2017.09.074 | - |
dc.identifier.scopusid | 2-s2.0-85032472029 | - |
dc.identifier.wosid | 000423495100027 | - |
dc.identifier.bibliographicCitation | Physica A: Statistical Mechanics and its Applications, v.492, pp.308 - 323 | - |
dc.relation.isPartOf | Physica A: Statistical Mechanics and its Applications | - |
dc.citation.title | Physica A: Statistical Mechanics and its Applications | - |
dc.citation.volume | 492 | - |
dc.citation.startPage | 308 | - |
dc.citation.endPage | 323 | - |
dc.type.rims | ART | - |
dc.type.docType | 정기학술지(Article(Perspective Article포함)) | - |
dc.description.journalClass | 1 | - |
dc.description.isOpenAccess | Y | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Physics | - |
dc.relation.journalWebOfScienceCategory | Physics, Multidisciplinary | - |
dc.subject.keywordPlus | BUBBLES | - |
dc.subject.keywordAuthor | Log-periodicityPrice forecastingDiffusion modelPattern recognitionNon-linear time seriesFinancial market | - |
dc.identifier.url | https://www.sciencedirect.com/science/article/pii/S0378437117309664?via%3Dihub | - |
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