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Journal of Portfolio Management, 2014, Volume 40, Issue 2, Pages 54–63
DOI: https://doi.org/10.3905/jpm.2014.40.2.054
(Mi jpm1)
 

This article is cited in 30 scientific papers (total in 30 papers)

When to sell Apple and the NASDAQ? Trading bubbles with a Stochastic Disorder Model

A. N. Shiryaevab, M. V. Zhitlukhinbcd, W. T. Ziembae

a Lomonosov Moscow State University
b Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
c University of Manchester
d National Research University "Higher School of Economics" (HSE), Moscow
e University of British Columbia
Citations (30)
Bibliographic databases:
Document Type: Article
Language: English
Linking options:
  • https://www.mathnet.ru/eng/jpm1
  • This publication is cited in the following 30 articles:
    1. Yaosong Zhan, Zhenya Liu, “Detecting turning points in high-frequency financial data analysis”, Ann Oper Res, 2025  crossref
    2. Chaolin He, Yijia Gao, Feng Xiao, Liangling Tang, Yasir Khan, “A bubble identification mechanism: Evidence from the Chinese stock market”, Pacific Economic Review, 29:1 (2024), 55  crossref
    3. Se Ho Kwak, “Explaining panic behavior in portfolio decision-making*”, Journal of Post Keynesian Economics, 2024, 1  crossref
    4. Hubert Dichtl, Wolfgang Drobetz, Tizian Otto, “Forecasting Stock Market Crashes via Machine Learning”, Journal of Financial Stability, 65 (2023), 101099  crossref
    5. Savas Dayanik, Semih O Sezer, “Model Misspecification in Discrete Time Bayesian Online Change Detection”, Methodol Comput Appl Probab, 25:1 (2023)  crossref
    6. Ioanna T. Kokores, Financial and Monetary Policy Studies, 55, Monetary Policy in Interdependent Economies, 2023, 39  crossref
    7. Cagin Uru, Savas Dayanik, Semih O. Sezer, “Compound Poisson disorder problem with uniformly distributed disorder time”, Bernoulli, 29:3 (2023)  crossref
    8. Xuyuan Han, Zhenya Liu, “The optimal time to buy and hold stock in a reversal”, Int. J Fin Econ, 2023  crossref
    9. Sabri Boubaker, Zhenya Liu, Tianqing Sui, Ling Zhai, “The mirror of history: How to statistically identify stock market bubble bursts”, Journal of Economic Behavior & Organization, 204 (2022), 128  crossref
    10. Zehra Eksi, Daniel Schreitl, “Closing a Bitcoin Trade Optimally under Partial Information: Performance Assessment of a Stochastic Disorder Model”, Mathematics, 10:1 (2022), 157  crossref
    11. Hachmi Ben Ameur, Xuyuan Han, Zhenya Liu, Jonathan Peillex, “When did global warming start? A new baseline for carbon budgeting”, Economic Modelling, 116 (2022), 106005  crossref
    12. Zhenya Liu, Yuhao Mu, “Optimal Stopping Methods for Investment Decisions: A Literature Review”, IJFS, 10:4 (2022), 96  crossref
    13. Robert A. Jarrow, Simon S. Kwok, “Inferring financial bubbles from option data”, J of Applied Econometrics, 36:7 (2021), 1013  crossref
    14. MICHAEL SCHATZ, DIDIER SORNETTE, “INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS”, Int. J. Theor. Appl. Finan., 23:07 (2020), 2050047  crossref
    15. Zuo Quan Xu, Fahuai Yi, “Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty”, Mathematics of OR, 45:1 (2020), 384  crossref
    16. Robert Jarrow, Simon Kwok, “Inferring Financial Bubbles from Option Data”, SSRN Journal, 2020  crossref
    17. Albert N. Shiryaev, Probability Theory and Stochastic Modelling, 93, Stochastic Disorder Problems, 2019, 367  crossref
    18. George Milunovich, Shuping Shi, David Tan, “Bubble detection and sector trading in real time”, Quantitative Finance, 19:2 (2019), 247  crossref
    19. S. Lleo, W. T. Ziemba, “Can Warren Buffett forecast equity market corrections?”, The European Journal of Finance, 25:4 (2019), 369  crossref
    20. Michael Schatz, Didier Sornette, “Inefficient Bubbles and Efficient Drawdowns in Financial Markets”, SSRN Journal, 2018  crossref
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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