| Abstrakt: |
This article provides a systematic review of the theoretical and empirical academic literature on the development and extension of the log-periodic power law singularity (LPPLS) model, which is also known as the Johansen-Ledoit-Sornette (JLS) model or log-periodic power law (LPPL) model. Developed at the interface of financial economics, behavioral finance and statistical physics, the LPPLS model provides a flexible and quantitative framework for detecting financial bubbles and crashes by capturing two salient empirical characteristics of price trajectories in speculative bubble regimes: the faster-than-exponential growth of price leading to unsustainable growth ending with a finite crashtime and the accelerating log-periodic oscillations. We also demonstrate the LPPLS model by detecting the recent bubble status of the S&P 500 index between April 2020 and December 2022, during which the S&P 500 index reaches its all-time peak at the end of 2021. We find that the strong corrections of the S&P 500 index starting from January 2022 stem from the increasingly systemic instability of the stock market itself, while the well-known external shocks, such as the decades-high inflation, aggressive monetary policy tightening by the Federal Reserve, and the impact of the Russia/Ukraine war, may serve as sparks. [ABSTRACT FROM AUTHOR] |
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