Early detection of financial bubbles
Guarracino, Vincenzo (A.A. 2024/2025) Early detection of financial bubbles. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 66. [Master's Degree Thesis]
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Abstract/Index
Theoretical frameworks. Efficient market hypothesis and rational bubbles. Behavioral finance and Soros’ reflexivity. Credit-debt cycles as a cause for bubbles. The 2021-2022 bubble. Random coefficient autoregression. Univariate model. Multivariate model. Simulations. The LPPLS model. Assumptions. Model derivation. Estimation. Topological data analysis. Introduction and literature review. Methodology. Permutation entropy. Empirical results. S&P 500 application. Natural gas futures market application.
References
Bibliografia: pp. 61-65.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Empirical finance |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Traficante, Guido |
| Academic Year: | 2024/2025 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 23 Sep 2025 12:51 |
| Last Modified: | 23 Sep 2025 12:51 |
| URI: | https://tesi.luiss.it/id/eprint/43264 |
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