Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities

Qun Zhang; Qunzhi Zhang; Didier Sornette

doi:10.1371/journal.pone.0165819

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Open Access

Peer-reviewed

Research Article

Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities

Qun Zhang,

Affiliations School of Finance, Guangdong University of Foreign Studies, Guangzhou, Guangdong, China, Department of Management, Technology and Economics, ETH Zurich (Eidgenössische Technische Hochschule Zürich), Zurich, Switzerland
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Qunzhi Zhang,

Affiliation Department of Management, Technology and Economics, ETH Zurich (Eidgenössische Technische Hochschule Zürich), Zurich, Switzerland
⨯
Didier Sornette

* E-mail: dsornette@ethz.ch

Affiliations Department of Management, Technology and Economics, ETH Zurich (Eidgenössische Technische Hochschule Zürich), Zurich, Switzerland, Swiss Finance Institute, c/o University of Geneva, Geneva, Switzerland
⨯

Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities

Qun Zhang,
Qunzhi Zhang,
Didier Sornette

Published: November 2, 2016
https://doi.org/10.1371/journal.pone.0165819

About the Authors

Qun Zhang

Affiliations School of Finance, Guangdong University of Foreign Studies, Guangzhou, Guangdong, China, Department of Management, Technology and Economics, ETH Zurich (Eidgenössische Technische Hochschule Zürich), Zurich, Switzerland

Qunzhi Zhang

Affiliation Department of Management, Technology and Economics, ETH Zurich (Eidgenössische Technische Hochschule Zürich), Zurich, Switzerland

Didier Sornette

* E-mail: dsornette@ethz.ch

Affiliations Department of Management, Technology and Economics, ETH Zurich (Eidgenössische Technische Hochschule Zürich), Zurich, Switzerland, Swiss Finance Institute, c/o University of Geneva, Geneva, Switzerland

Competing Interests

The authors have declared that no competing interests exist.

Author Contributions

Conceptualization: DS QZZ. Formal analysis: QZ DS QZZ. Funding acquisition: QZ DS. Investigation: QZ DS QZZ. Methodology: QZ DS QZZ. Resources: QZ DS QZZ. Software: QZ QZZ. Supervision: DS QZZ. Validation: QZ DS QZZ. Visualization: QZ DS QZZ. Writing – original draft: QZ DS QZZ. Writing – review & editing: QZ DS QZZ.

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Finance
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Curve fitting
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Financial markets
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Signal filtering
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Forecasting
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Resource management
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