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アイテム
Detecting Bubbles by Machine Learning Prediction.
http://hdl.handle.net/10086/85951
http://hdl.handle.net/10086/85951daf68411-7acc-4c64-99b1-4a70e506d4e5
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
070hcfrWP_1_030.pdf (1.3 MB)
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| Item type | デフォルトアイテムタイプ（フル）その２(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2025-07-31 | |||||||
| タイトル | ||||||||
| タイトル | Detecting Bubbles by Machine Learning Prediction. | |||||||
| 言語 | en | |||||||
| 作成者 |
MINAMI, Koutaroh
× MINAMI, Koutaroh
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| 寄与者 | ||||||||
| 寄与者タイプ | Editor | |||||||
| 姓名 | Hitotsubashi University Center for Financial Research | |||||||
| 言語 | en | |||||||
| アクセス権 | ||||||||
| アクセス権 | open access | |||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||
| 主題 | ||||||||
| 言語 | en | |||||||
| 主題Scheme | Other | |||||||
| 主題 | Bubbles | |||||||
| 主題 | ||||||||
| 言語 | en | |||||||
| 主題Scheme | Other | |||||||
| 主題 | Generalized Supremum Augmented Dickey-Fuller test (GSADF) | |||||||
| 主題 | ||||||||
| 言語 | en | |||||||
| 主題Scheme | Other | |||||||
| 主題 | Machine learning | |||||||
| 主題 | ||||||||
| 言語 | en | |||||||
| 主題Scheme | Other | |||||||
| 主題 | Long Short Term Memory (LSTM) | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | This study explores the potential of machine learning, Long Short-Term Memory (LSTM), to detect asset price bubbles by analyzing prediction errors. Using monthly data of the Nikkei225 Index, I evaluate the performance of LSTM model in forecasting prices and compare with the GSADF test. I find that LSTM’s prediction accuracy significantly deteriorates during periods associated with asset bubbles, suggesting the presence of structural changes. In particular, the LSTM approach of this paper captures both the emergence and collapse of Japan’s late 1980s bubble separately. In addition, it can also capture structural changes related to policy changes in the 2010s Japan, which are not identified by the GSADF test. These findings suggest that machine learning can be used for not only identifying bubbles but also policy evaluations. | |||||||
| 言語 | en | |||||||
| 出版者 | ||||||||
| 出版者 | Hitotsubashi University Center for Financial Research | |||||||
| 日付 | ||||||||
| 日付 | 2025-06 | |||||||
| 日付タイプ | Issued | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| 資源タイプ | ||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||
| 資源タイプ | technical report | |||||||
| 出版タイプ | ||||||||
| 出版タイプ | VoR | |||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||
| 関連情報 | ||||||||
| 関連タイプ | isPartOf | |||||||
| 言語 | en | |||||||
| 関連名称 | Working Paper Series ; No. G-1-30 | |||||||
| ページ数 | ||||||||
| ページ数 | 11 | |||||||
| JEL | ||||||||
| 値 | G10 | |||||||
| JEL | ||||||||
| 値 | G17 | |||||||
