The detection of phase transitions in the South African market

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dc.contributor.advisorMahomed, Obeiden_ZA
dc.contributor.advisorBosman, Petrusen_ZA
dc.contributor.authorVan Gysen, Michaelen_ZA
dc.date.accessioned2016-07-20T06:56:46Z
dc.date.available2016-07-20T06:56:46Z
dc.date.issued2016en_ZA
dc.description.abstractThis 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 the FTSE/JSE Top40 index are taken as inputs to the JLS model from 3 June 2003 to 31 August 2015. It is shown that for certain time horizons into the past, the JLS based trading strategies significantly outperform random trading strategies. However this result is highly dependent on how far the model looks into the past, and if the model is calibrating to positive or negative bubbles. The lack of research with regards to the "stylized facts" of the JLS model, specifically relating to the time horizon and type of bubble, poses a significant hurdle in correctly identifying a LPPL structure in stock prices. These core features of the JLS model were developed from a number of positive bubbles that built up over many years. The results suggest that these features may not apply over all time horizons, and for both types of bubbles.en_ZA
dc.identifier.apacitationVan Gysen, M. (2016). <i>The detection of phase transitions in the South African market</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/20483en_ZA
dc.identifier.chicagocitationVan Gysen, Michael. <i>"The detection of phase transitions in the South African market."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2016. http://hdl.handle.net/11427/20483en_ZA
dc.identifier.citationVan Gysen, M. 2016. The detection of phase transitions in the South African market. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Van Gysen, Michael AB - 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 the FTSE/JSE Top40 index are taken as inputs to the JLS model from 3 June 2003 to 31 August 2015. It is shown that for certain time horizons into the past, the JLS based trading strategies significantly outperform random trading strategies. However this result is highly dependent on how far the model looks into the past, and if the model is calibrating to positive or negative bubbles. The lack of research with regards to the "stylized facts" of the JLS model, specifically relating to the time horizon and type of bubble, poses a significant hurdle in correctly identifying a LPPL structure in stock prices. These core features of the JLS model were developed from a number of positive bubbles that built up over many years. The results suggest that these features may not apply over all time horizons, and for both types of bubbles. DA - 2016 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2016 T1 - The detection of phase transitions in the South African market TI - The detection of phase transitions in the South African market UR - http://hdl.handle.net/11427/20483 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/20483
dc.identifier.vancouvercitationVan Gysen M. The detection of phase transitions in the South African market. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2016 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/20483en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleThe detection of phase transitions in the South African marketen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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