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Min Shu

University of Wisconsin - Stout



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Wei Zhu

Stony Brook University



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Dissecting the 2015 Chinese Stock Market Crash

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Keywords: Chinese Stock Market, Covariance matrix adaptation evolution strategy, Financial bubble, Log-periodic power law singularity model (LPPLS), Market crash

Min Shu

University of Wisconsin - Stout

Wei Zhu

Stony Brook University

In this study, we perform a novel analysis of the 2015 financial bubble in the Chinese stock market by calibrating the Log Periodic Power Law Singularity (LPPLS) model to two important Chinese stock indices, SSEC and SZSC, from early 2014 to June 2015. The back tests of the 2015 Chinese stock market bubbles indicate that the LPPLS model can readily detect the bubble behavior of the faster-than-exponential increase corrected by the accelerating logarithm-periodic oscillations in the 2015 Chinese Stock market.

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