Dynamic Warp Analysis: A New Approach for Detecting and Timing Bubbles

被引：0

作者：

Kritzman, Mark ^{[1
,2
]}

Song, Huili ^{[3
]}

Turkington, David ^{[3
]}

机构：

[1] Windham Capital Management, Boston, MA 02138 USA

[2] MIT Sloan Sch Management, Cambridge, MA 02142, Brazil

[3] State St Associates, Cambridge, MA, Brazil

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 2024年 / 50卷 / 06期

关键词：

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The authors apply a technique called dynamic warp analysis to rescale the unique cadences of 2,638 bubbles into synchronized steps. They then observe the distributions of chosen stock characteristics for each step across all the bubbles. They also observe these stock characteristics during periods when a stock is not experiencing a bubble. The authors use this information to detect when a bubble is under way and how far it has progressed. They test several trading rules to assess the potential to profit from this information.

引用

页数：240