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The detection of phase transitions in the South African market
This dissertation details the performance of two specific trading strategies which are based on the Johansen-Ledoit-Sornette (JLS) model. Both positive and negative bubbles are modelled as a log-periodic power law (LPPL) ending in a finite time singularity. The stock prices of the constituents of th...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2016
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