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Diagnostic and forecast of future bubbles and crashes

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We report recent advances on the calibration of financial bubbles, defined as transient super-exponential stochastic price trajectories that reflect positive feedbacks. The results include advanced methods of calibration to address the quasi-degenerate or soft-mode problem in the estimation procedure, the FTS -GARCH model (finite-time singularity GARCH ) and the use of self-consistent rational expectation bubble models with stochastic finite-time singularities. We also present results of the Financial Crisis Observatory (www.er.ethz.ch/fco) at ETH Zurich, which aims at testing and quantifying rigorously, in a systematic way and on a large scale the hypothesis that financial bubbles can diagnosed with a rigorous scientific methodology before they burst.

This talk is part of the Isaac Newton Institute Seminar Series series.

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