Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013

Shiryaev A. N.; M. Zhitlukhin; Ziemba W. T.

doi:10.1080/14697688.2014.989897

Publications

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Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013

Quantitative Finance. 2015. Vol. 15. No. 9. P. 1449–1469.

Shiryaev A. N., Zhitlukhin M., Ziemba W. T.

We study the land and stock markets in Japan circa 1990 and in 2013. While the Nikkei stock average in the late 1980s and its (Formula presented.) % crash in 1990 is generally recognized as a financial market bubble, a bigger bubble and crash was in the land market. The crash in the Nikkei which started on the first trading day of 1990 was predictable in April 1989 using the bond-stock earnings yield model which signalled a crash but not its exact moment. We show that it was possible to use the changepoint detection model based solely on price movements for profitable exits of long positions both circa 1990 and in 2013. © 2015 Taylor & Francis.

Language: English

DOI

Keywords: Bubbles Bond-stock model Change point detection Golf course membership index Nikkei stock average

Role of dislocations in the mobility of pinned helium bubbles: Molecular dynamics simulations in aluminum

Piliugin L., Antropov A., Lobashev E. et al., Journal of Nuclear Materials 2026 Vol. 632 Article 156876

The effects of dislocations on the mobility of gas nanobubbles pinned to them are considered as novel unex- plored mechanisms of accelerated fission gas release and investigated using classical molecular dynamics of helium bubbles in FCC aluminum. Non-equilibrium methods are developed to calculate the mobility of a pinned bubble both along and across the dislocation ...

Added: September 28, 2026

Online Neural Networks for Change-Point Detection

Hushchyn M., Arzymatov K., Derkach D., Machine Learning 2026 Vol. 115 Article 56

Moments when a time series changes its behavior are called change points. Occurrence of change point implies that the state of the system is altered and its timely detection might help to prevent unwanted consequences. In this paper, we present two change-point detection approaches based on neural networks and online learning. These algorithms demonstrate linear ...

Added: March 6, 2026

Latent Stochastic Differential Equations for Change Point Detection

Ryzhikov A., Hushchyn M., Derkach D., IEEE Access 2023 Vol. 11 P. 104700–104711

Automated analysis of complex systems based on multiple readouts remains a challenge. Change point detection algorithms are aimed to locating abrupt changes in the time series behaviour of a process. In this paper, we present a novel change point detection algorithm based on Latent Neural Stochastic Differential Equations (SDE). Our method learns a non-linear deep ...

Added: October 5, 2023

A Contrastive Approach to Online Change Point Detection

Puchkin N., Shcherbakova V., , in: Proceedings of The 26th International Conference on Artificial Intelligence and Statistics (AISTATS 2023), Volume 206Vol. 206.: Valencia: PMLR, 2023. P. 5686–5713.

We suggest a novel procedure for online change point detection. Our approach expands an idea of maximizing a discrepancy measure between points from pre-change and post-change distributions. This leads to a flexible procedure suitable for both parametric and nonparametric scenarios. We prove non-asymptotic bounds on the average running length of the procedure and its expected ...

Added: August 2, 2023

Multistability in dynamics of an encapsulated bubble contrast agent: coexistence of three attractors

Garashchuk I. R., Sinelshchikov D., Kudryashov N. A., Journal of Physics: Conference Series 2019 Vol. 1205 No. 1 P. 1–5

In this work we discuss complex dynamics arising in a model describing behavior of an encapsulated bubble contrast agent oscillating close to an elastic wall. We demonstrate presence of three coexisting attractors in the system. We propose an efficient numerical procedure based on the continuation method that can be used to locate the area of ...

Added: June 18, 2019

Переход Минского в модели с инстинктом доверия и стадным поведением

Nikolaevich Nikolaenko D., Абдухамидов А. В., Управление экономическими системами: электронный научный журнал 2013 № 1

Game-theoretic model of Minsky’s tension is proposed. This model illustrates logic of actions for potential sellers in the context of «animal spirit» of confidence realization and herding behavior for situation when sufficient mass of players has doubts about further market price rise in a period from the end of euphoria until the beginning of panic. ...

Added: March 28, 2015

Land and Stock Bubbles, Crashes and Exit Strategies In Japan Circa 1990 and in 2013

Shiryaev A., Zhitlukhin M., Ziemba W., / Series Social Science Research Network "Social Science Research Network". 2013.

We study the land and stock markets in Japan circa 1990. While the Nikkei stock average in the late 1980s and its -48% crash in 1990 is generally recognized as a financial market bubble, a bigger bubble and crash was in the golf course membership index market. The crash in the Nikkei which started on ...

Added: March 9, 2014

When to sell Apple and the NASDAQ? Trading bubbles with a stochastic disorder model

Shiryaev A., Zhitlukhin M., Ziemba W., The Journal of Portfolio Management 2014 Vol. 40 No. 2 P. 54–63

In this paper, the authors apply a continuous-time stochastic process model developed by Shiryaev and Zhutlukhin for optimally stopping random price processes that appear to be bubbles, defined as price increases that are largely based on the expectation of higher and higher future prices. Futures traders, such as George Soros, attempt to trade such markets, ...

Added: February 12, 2014