The occurrence and unpredictability of speculative bubbles on financial markets, and their accompanying crashes, have confounded economists and economic historians worldwide. We examine the ability of the log-periodic power law model (LPPL-model) to accurately predict the end dates of speculative bubbles on financial markets through modeling of asset price dynamics on a selection of historical bubbles. The method is based on a nonlinear least squares estimation that yields predictions of when the bubble will change regime. Previous studies have only presented results where the predictions turn out to be successful. This study is the first to highlight both the potential and the limitations of the LPPL-model. We find evidence that supports the characteristic patterns as proposed by the LPPL-framework leading up to the change in regime; asset prices during bubble periods seem to oscillate around a faster-than-exponential growth. In most cases the estimation yields accurate predictions, although we conclude that the predictions are quite dependent on the point in time at which they are conducted. We also find that the end of a speculative bubble seems to be influenced by both endogenous speculative growth and exogenous factors. For this reason we propose a new way of interpreting the predictions of the model, where the end dates should be interpreted as the start of a time period where the asset prices are especially sensitive to exogenous events. We propose that negative news during this time period results in a regime shift and the bursting of the bubble. Thus, the model has the ability to predict sensitivity to exogenous events ex ante.

中文翻译：

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破灭的时机：使用对数周期幂律模型预测金融市场泡沫的破灭

金融市场上投机泡沫的发生和不可预测性，以及随之而来的崩盘，让全世界的经济学家和经济史学家感到困惑。我们通过对选定的历史泡沫进行资产价格动态建模，检验了对数周期幂律模型（LPPL 模型）准确预测金融市场投机泡沫结束日期的能力。该方法基于非线性最小二乘估计，可以预测气泡何时会改变状态。以前的研究只提供了预测成功的结果。这项研究首次强调了 LPPL 模型的潜力和局限性。我们找到了支持 LPPL 框架提出的导致政权更迭的特征模式的证据；泡沫时期的资产价格似乎围绕着快于指数的增长波动。在大多数情况下，估计会产生准确的预测，尽管我们得出的结论是，预测完全取决于进行预测的时间点。我们还发现，投机泡沫的结束似乎受到内生投机增长和外生因素的影响。出于这个原因，我们提出了一种解释模型预测的新方法，其中结束日期应该被解释为资产价格对外部事件特别敏感的时间段的开始。我们建议在此期间的负面消息会导致政权更迭和泡沫破裂。因此，该模型具有事前预测对外源事件的敏感性的能力。