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

Gio, 10/18/2018 - 12:00 / 13:00

207, 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.