naa a22 4500 528784382 20180924072552.0 cr unu---uuuuu 180924e20161102xx s 000 0 eng 10.3929/ethz-b-000122690 doi 10.1371/journal.pone.0165819 doi (ETHRESEARCH)oai:www.research-collection.ethz.ch:20.500.11850/122690 Zhang Qun Early warning signals of financial crises with multi-scale quantile regressions of log-periodic power law singularities [Elektronische Daten] [Qun Zhang, Qunzhi Zhang, Didier Sornette] PLoS ONE Open access ethresearch We augment the existing literature using the Log-Periodic Power Law Singular (LPPLS) structures in the log-price dynamics to diagnose financial bubbles by providing three main innovations. First, we introduce the quantile regression to the LPPLS detection problem. This allows us to disentangle (at least partially) the genuine LPPLS signal and the a priori unknown complicated residuals. Second, we propose to combine the many quantile regressions with a multi-scale analysis, which aggregates and consolidates the obtained ensembles of scenarios. Third, we define and implement the so-called DS LPPLS Confidence™ and Trust™ indicators that enrich considerably the diagnostic of bubbles. Using a detailed study of the "S&P 500 1987” bubble and presenting analyses of 16 historical bubbles, we show that the quantile regression of LPPLS signals contributes useful early warning signals. The comparison between the constructed signals and the price development in these 16 historical bubbles demonstrates their significant predictive ability around the real critical time when the burst/rally occurs. Creative Commons Attribution 4.0 International http://creativecommons.org/licenses/by/4.0 ethresearch Zhang Qunzhi joint author Sornette Didier joint author PLoS ONE San Francisco, CA, USA : Public Library of Science 11 (11), p. e0165819 1932-6203 http://hdl.handle.net/20.500.11850/122690 text/html WWW-Backlink auf das Repository (Open access) 1 Journal Article ethresearch ETHRESEARCH 856 40 http://hdl.handle.net/20.500.11850/122690 text/html WWW-Backlink auf das Repository (Open access) ETHRESEARCH 100 1- Zhang Qun ETHRESEARCH 700 1- Zhang Qunzhi joint author ETHRESEARCH 700 1- Sornette Didier joint author ETHRESEARCH 773 0- PLoS ONE San Francisco, CA, USA : Public Library of Science 11 (11), p. e0165819 1932-6203 SWISSBIB 341631108 BK010053 XK010053 XK010000 ETHRESEARCH ETHRESEARCH ETHRESEARCH Journal Article Open access