[R-SIG-Finance] LPPL model for bubble burst forcasting

[Gabor Grothendieck]

Try this:

lines(exp(fitted(lm(log(pr) ~ ti))), col = "purple")


On Fri, Jul 17, 2009 at 4:11 AM, Wind<windspeedo99 at gmail.com> wrote:
> Sorry that I forgot including the first line of the code:
> library(quantmod)
>
> So the replicable codes as following:
>
> library(quantmod)
> hsi<-read.csv("http://32xiang.appspot.com/static/hsi-1970.csv",header=TRUE,stringsAsFactors=FALSE)
> pr<-hsi$close
>
> plot(pr,type="l",log="y")
> grid()
>
> ti<-index(pr)
> ti2<-index(pr)^2
>
> lines(lm(pr~ti+ti2)$fit,col="red")
> lines(lm(pr~ti)$fit,col="blue")
> lines(lm(pr~ti2)$fit,col="pink")
>
>
>
>
> On Fri, Jul 17, 2009 at 3:12 PM, Wind<windspeedo99 at gmail.com> wrote:
>> There is a chart of Heng Seng index  in page 24 of Prof. Sornette's paper:
>> ## Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the
>> Financial and Economic Crisis
>> ## http://arxiv.org/abs/0905.0220
>> The picture has also been attached as .hong kong.jpg
>>
>> The y axis of the chart is log-axis.  And there is a straight line in
>> the chart.  "This is indeed the long-term behavior of this market, as
>> shown by the best linear fit represented by the solid straight line,
>> corresponding to an average constant growth rate of 13.8% per year."
>> The following codes could not plot the same straight line.  I wonder
>> how could plot the straight best fit line  in the log plot.
>>
>>
>> ## Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the
>> Financial and Economic Crisis
>> ## http://arxiv.org/abs/0905.0220
>> ## chart in Page 24
>>
>> hsi<-read.csv("http://32xiang.appspot.com/static/hsi-1970.csv",header=TRUE,stringsAsFactors=FALSE)
>> pr<-hsi$close
>>
>> plot(pr,type="l",log="y")
>> grid()
>>
>> ti<-index(pr)
>> ti2<-index(pr)^2
>>
>> lines(lm(pr~ti+ti2)$fit,col="red")
>> lines(lm(pr~ti)$fit,col="blue")
>> lines(lm(pr~ti2)$fit,col="pink")
>>
>> Thanks in advance.
>>
>> wind
>>
>
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