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2022-03-08
摘要翻译:
本工作文件根据Didier Sornette开发的方法分析黄金价格动态。我们的计算表明,这一动态与Sornette研究的“泡沫”接近,“黄金泡沫破裂”的最大可能时间是2011年4月至6月。用两种不同的方法对所得结果进行了进一步的检验。首先,我们比较了黄金泡沫破裂预测时间的变化模式和石油泡沫破裂预测时间的回顾变化模式(2008年7月发生)。这一对比表明,崩盘时机趋于变化的时期接近尾声,黄金泡沫破裂的可能性最大的是2011年5月或6月。其次,我们使用了对双曲线趋势的临界时间的估计(在我们以前的出版物中已经表明,这是许多社会经济过程的典型)。我们用这种方法进行的计算还表明,2011年5月至6月是黄金泡沫破裂的最大可能时间。当然,这一预测不应被视为准确的预测,因为这意味着美国、欧盟和中国金融政策的稳定性,而大型参与者(如联邦储备系统或中国中央银行)的重大干预可能会以相当重要的方式影响外汇博弈的进程。我们还分析了“黄金泡沫”破裂的可能后果。
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英文标题:
《Log-Periodic Oscillation Analysis and Possible Burst of the "Gold
  Bubble" in April - June 2011》
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作者:
Sergey V. Tsirel, Askar Akaev, Alexey Fomin, Andrey V. Korotayev
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最新提交年份:
2010
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分类信息:

一级分类:Quantitative Finance        数量金融学
二级分类:Statistical Finance        统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类:Quantitative Finance        数量金融学
二级分类:General Finance        一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要:
  This working paper analyzes the gold price dynamics on the basis of methodology developed by Didier Sornette. Our calculations indicate that this dynamics is close to the one of the "bubbles" studied by Sornette and that the most probable timing of the "burst of the gold bubble" is April - June 2011. The obtained result has been additionally checked with two different methods. First of all, we have compared the pattern of changes of the forecasted timing of the gold bubble crash with the retrospective changes of forecasts of the oil bubble crash (that took place in July 2008). This comparison indicates that the period when the timing of the crash tended to change is close to the end, and the burst of the gold bubble is the most probable in May or June 2011. Secondly, we used the estimates of critical time for the hyperbolic trend (that has been shown in our previous publications to be typical for many socioeconomic processes). Our calculations with this method also indicate May - June 2011 as the most probable time of the burst of the gold bubble. Naturally, this forecast should not be regarded as an exact prediction as this implies the stability of the finance policies of the USA, European Union, and China, whereas a significant intervention of giant players (like the Federal Reserve System, or the Central Bank of China) could affect the course of the exchange game in a rather significant way. We also analyze possible consequences of the burst of the "gold bubble".
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PDF链接:
https://arxiv.org/pdf/1012.4118
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