2. About Prognoz
Leading Russian developers of Business Intelligence
and Performance Management systems
• international company that has
been working in the IT market
since 1991
• joint team of over 1 200 skilled
economists, programmers,
analysts
• 50% market of BI in Russia
• Prognoz Platform, 1-st Russian
platform in Magic Quadrant of
Gartner
3. CONTENTS
Technical architecture Practical approach
Evolution of bubble and risk management
About MMP cluster Monitoring of financial bubbles
MMP cluster architecture The system of bubble recognition
Financial bubbles Science and experiment
Historical bubbles Financial bubble experiment
Definition of financial bubbles Market microstructure approach
Theory of crashes
LPPL model
Fitting of the model
Models selection
3
5. Technical info:
Installation Site: Perm state university
Supercomputer type: Cluster
Number of nodes: 3
Number of Cores per node: 12
CPU type: Intel Xeon 5650 (2.66 GHz)
RAM per node: 64 Gb
OS: Windows Server 2003
5
7. R is statistical and graphical
programming environment
Appeared in 1993 and designed by There is more than 4300
Ross Ihaka and Robert Gentleman packages that allow to use
specialized statistical
R is a GNU project techniques, graphical
devices, import/export
R – a free implementation of the S capabilities, reporting tools,
etc.
language
It runs on a variety of platforms
including Windows, Unix and MacOS
It contains advanced statistical
routines not yet available in other
packages
7
8. Commands
Database
Batch file R file
Task R file
Batch file
Runner
Batch file R file
8
13. Mr. Greenspan
Thefreedictionary.com
Charles Kindleberger, MIT
Professor J.Barley Rosser, James Madison University
13
14. Authors
A.Johansen, O.Ledoit, D.Sornette (JLS)
First publication
Large financial crashes (1997)
Famous book
Didier Sornette
Why Stock Markets Crash (2004)
𝑡 𝑐 - critical time when bubble crash or
change to another regime
14
21. For each log periodic curve we fixed:
𝑡0 - start time of the bubble
First model 𝑡 𝑐 - critical time when bubble crash or
change to another regime
Second model
Sample of 𝑡 𝑐
𝑡 𝑐1 𝑡 𝑐2
21
27. Timeframe LPPL
• Bubble • Long • Large
• Anti - bubble • Short • Small • Parameters
Type Size
27
28. The Financial Crisis Observatory (FCO) is a scientific platform aimed at testing and
quantifying rigorously, in a systematic way and on a large scale the hypothesis that
financial markets exhibit a degree of inefficiency and a potential for predictability,
especially during regimes when bubbles develop. (http://www.er.ethz.ch/fco/index)
Testing two hypotheses:
• Hypothesis H1: financial (and other) bubbles can be diagnosed in real-time
before they end..
• Hypothesis H2: The termination of financial (and other) bubbles can be
bracketed using probabilistic forecasts, with a reliability better than chance
(which remains to be quantied).
D. Sornette, R. Woodard,
M. Fedorovsky,S. Reimann, H. Woodard, W.-X. Zhou
The Financial Bubble Experiment. First Results (2 November 2009 - 1 May 2010)
28
29. 2 November 2009 – 1 May 2010 [http://www.er.ethz.ch/fco/FBE_report_May_2010]
2 of 4 bubbles detected by model were real bubbles
All of them changed their regimes
12 May 2010 – 1 November 2010 [http://www.er.ethz.ch/fco/fbe_Report_1Nov10_2]
5 of 7 bubbles detected by model were real bubbles
4 of 5 changed their regimes
12 November 2011 – 2 May 2011 [http://www.er.ethz.ch/fco/fbe_20110502_assets_3.pdf]
24 of 27 bubbles detected by model were real bubbles
17 of 24 changed there regime
29
33. Statistics: IDENT UP DOWN ALL
PMTL 15 36 51
MAGN 31 6 37
Stocks analyzed 29 blue chips NOTK
OGKC
18
13
18
23
36
36
01.04.2010-30.06.2010; AFLT 9 25 34
RTKM 14 19 33
Period 1.09.2010-12.10.2010 MGNT 4 16 20
NLMK 8 12 20
Trading days 82 URKA 7 11 18
Sample analyzed 20.2 mln. ticks SIBN
RASP
6
7
10
8
16
15
Trading time 11.30-18.40 MRKH 3 9 12
MSNG 5 7 12
CHMF 3 4 7
Shocks found 369 RU14TATN3006
HYDR
3
3
3
2
6
5
TRNFP 3 0 3
IUES 0 2 2
We use a tick dynamics of prices for MTSI 1 1 2
SNGSP 2 0 2
filtering (source: MICEX) ROSN 1 0 1
SNGS 1 0 1
FEES 0 0 0
GAZP 0 0 0
GMKN 0 0 0
Total 369 events (13 per stock) LKOH 0 0 0
On average 1 shock/7 days per stock SBER03 0 0 0
SBERP03 0 0 0
VTBR 0 0 0
Average 5 7 33
13
34. Science
Laboratory of financial modeling and risk
management - Prognoz Risk Lab
Мagistracy in finance and IT (Master in
Finance & IT) in Perm State National Research
University
mifit.ru
Perm Winter School is an annual conference
on modeling of financial markets and risk
management
permwinterschool.ru