2. Thefreedictionary.com
2
Mr. Greenspan
Charles Kindleberger, MIT
Professor J.Barley Rosser, James Madison University

3. 3
• 1585 – 1650 Netherlands
• Creating futures and options on the tulips
• The fall is 100 times

4. 4

5. 5

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7. 7

8. 8

11. 11

12. 12
Authors
A.Johansen, O.Ledoit, D.Sornette (JLS)
First publication
Large financial crashes (1997)
Famous book
Didier Sornette
Why Stock Markets Crash (2004)

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m = 0.3m = 0.01
m = 0.9 m = 1.7

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 = 3  = 7
 = 30 = 15

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 = 7  = 9.5

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First model
Second model

20. John von Neumann
20

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1
2
2
ln
ln
ln
i i i
i i i i i i
i i i i i i
A N f g p
B f f g f p f
C g f g g p g

    
    
     
     
     
  
   
   

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 Splitting the tolerance values ​​on the grid
 Finding the grid parameters providing a minimum sum of squared residuals
 Optimizing found on the grid parameters using the Newton-Gauss

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24. 24
V.Filimonov and D.Sornette
A Stable and Robust Calibration Scheme
of the Log-Periodic Power Law Model
(29 aug 2011)

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

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The procedure for estimation
of parameters
0t
ct

m
A
Bln[ ( )]p t
Filter

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
0 10 20 30 40
050100150
LOMB PERIODOGRAM
omega
P(omega)
m

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D.Fantazzini, P.Geraskin,
Everything You Always Wanted to Know
about Log Periodic Power
Laws for Bubble Modelling but Were Afraid to Ask (2011)

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36. The practical task № 7. Estimate LPPL model
Commands to help :
help(nsl)
TASK :
a. Download Index Data(ticker: “MICEX”) from 2001 to 2009
b. Estimate parameters of model LPPL
MODEL LPPL:

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