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Bitcoin, Brexit and other Bubble Stories - Evidence from Quantitative Models

18 October 2018 at 12:00 PM - 1:00 PM

Room 207, Campus on Viale Romania, 32

Speaker: Marco Scaringi, Intesa San Paolo

Abstract:

We develop a bubble detection methodology based on a combination of quantitative models, calibration approaches, global stochastic optimization algorithms, and sentiment analysis. We apply such methodology to a variety of financial data related to cryptocurrency, Brexit and tech bubbles, confirming ex-ante a number of bubble events actually observed ex-post.