DESCRIPTION
Stock Market Crashes analyzes different kinds of crashes involving big and small ones in the stock landscape in an attempt to understand stocks’ predictability. The book synthesizes theoretical and practical data to deliver methods crucial for predicting stock market crashes. It deliberately studies crashes that have taken place mainly from bubble blowout or from other factors that affect such.
It is a well-organized compilation of research findings and accounts necessary to determine stock market bubbles and the possibility of its potential outbursts. With sound and research-based methodologies, both field practitioners and academes are provided with insights on how to properly deal once a decline to occur in the stock market. More so, this book caters to those with great interest in the financial markets, especially for those who are interested in the Bond Stock Earnings Yield Differential model as this may employ support and enforcement for their analysis.
ABOUT THE AUTHORS
WILLIAM T. ZIEMBA – Is a former professor in the Sauder School of Business at the University of British Columbia, wherein he taught Financial Modeling and Stochastic Optimization. His tenure as professor lasted from 1968 up to 2006. He possesses a degree from the University of California, Berkeley.
Presently, he takes a part-time teaching job while regularly paying scholarly visits to different universities. Some of the well-known universities that he renders services to are Cambridge, Oxford, and Berkeley. Also, he is also the Distinguished Visiting Research Associate at the London School of Economics.
SEBASTIEN LLEO – is currently working for the Finance Department of NEOMA Business School in France as an Associate Professor. He is also an instructor on the Certificate in Quantitative Finance at FitchLearning in the United Kingdom. Some of his laudable undertakings are researches on investments, stochastic maneuver, behavioral finance, and risk management.
MIKHAIL ZHITLUKHIN- works as a researcher at Steklov Mathematical Institute, all while instructing at the Higher School of Economics situated in Moscow, Russia. His field of specialization involves theory in probability, stochastic methods, and theory in optimal control.
TABLE OF CONTENTS
- Review Quotes
- Dedication
- Preface
- About The Authors
- Introduction
- Discovery of the Bond Stocks Earnings Yield Differential Model
- Prediction of the 2007-2009 Stock Market Crashes in the US, China, and Iceland.
- The High Price Earnings Stock Market Danger Approach of Campbell and Shiller versus BSEYD Model
- Other Prediction Models for the Big Crashes Averaging- 25%
- Effect of Fed Meetings and Small-Cap Dominance
- Using Zweig’s Monetary and Momentum Models in the Modern Era
- Analysis and Possible Prediction of Declines in the -5% to -15% Range
- A Stopping Rule Model for Exiting Bubble-Like Markets with Applications
- A Simple Procedure to Incorporate Predictive Models in Stochastic Investment Models
- Appendix A. Other Bubble-Testing Methodologies and Historical Bubbles
- Appendix B. Mathematics of the Changepoint Detection Model
- Bibliography