Evaluation of the Quantitative Prediction of a Trend Reversal on the Japanese Stock Market in 1999
6 Pages Posted: 15 Jun 2000
There are 2 versions of this paper
Evaluation of the Quantitative Prediction of a Trend Reversal on the Japanese Stock Market in 1999
Date Written: February 3, 2000
Abstract
In January 1999, the authors published a quantitative prediction that the Nikkei index should recover from its 14 year low in January 1999 and reach approximately 20,500 a year later. The purpose of the present paper is to evaluate the performance of this specific prediction as well as the underlying model: the forecast, performed at a time when the Nikkei was at its lowest (as we can now judge in hindsight), has correctly captured the change of trend as well as the quantitative evolution of the Nikkei index since its inception. As the change of trend from sluggish to recovery was estimated quite unlikely by many observers at that time, a Bayesian analysis shows that a skeptical (resp. neutral) Bayesian sees her prior belief in our model amplified into a posterior belief 19 times larger (resp. reach the 95% level).
Keywords: Stock Market, Log-Periodic Oscillations, Scale Invariance, Prediction, Gold, Nikkei, Herding Behavior
JEL Classification: C2, G15
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Large Stock Market Price Drawdowns are Outliers
By Anders Johansen and Didier Sornette
-
Significance of Log-Periodic Precursors to Financial Crashes
By Anders Johansen and Didier Sornette
-
On Rational Bubbles and Fat Tails
By Thomas Lux and Didier Sornette
-
Endogenous Versus Exogenous Crashes in Financial Markets
By Anders Johansen and Didier Sornette
-
By Anders Johansen and Didier Sornette
-
2000-2003 Real Estate Bubble in the UK But Not in the USA
By Wei-xing Zhou and Didier Sornette
-
Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis
By Didier Sornette and Ryan Woodard
-
Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis
By Didier Sornette and Ryan Woodard
-
Empirical Distributions of Log-Returns: Between the Stretched Exponential and the Power Law?
By Yannick Malevergne, Vladilen Pisarenko, ...