Intra-Day Price Bubbles

January 16, 2018 - In recent years, the topic of price or economic bubbles has received significant attention. As we wrote this article, Nobel Prize winner Robert Shiller discussed how bitcoins resembled past market bubbles1 . Several methods specifically for real-time detection of bubbles have been proposed such as the recursive unit root tests (Phillips, Wu and Yu, 2011) and Generalized sup-ADF test (Philips, Shi and Yu, 2015). Determination of bubble periods is useful as they are phases of extreme exuberance or pessimism (as in case of negative bubbles).

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