Dot-com and AI bubbles: Can data from the past be helpful to match the price bubble euphoria phase using dynamic time warping?

Marcin Potrykus

doi:10.1016/j.frl.2024.105799

Dot-com and AI bubbles: Can data from the past be helpful to match the price bubble euphoria phase using dynamic time warping?

Abstract

The article investigates the existence of a price bubble in the artificial intelligence market, employing the Generalised Supremum Augmented Dickey-Fuller test and dynamic time warping methodology. It proposes a method to detect the end of the price bubble euphoria phase, generating an average profit of close to 7% over 5 days and over 10.5% over 20 days, with almost 90% effectiveness. The study found that the AI market experienced a phase of euphoria due to the COVID-19 pandemic. Four companies – META PLATFORMS, WORKDAY, SALESFORCE and NVIDIA CORPORATION – were identified, whose stock prices currently resemble the euphoria phase.

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Marcin Potrykus dr inż.

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Category:

Articles

Type:

artykuły w czasopismach

Published in:

Finance Research Letters no. 67,
ISSN: 1544-6123

Language:

English

Publication year:

2024

Bibliographic description:

Potrykus M.: Dot-com and AI bubbles: Can data from the past be helpful to match the price bubble euphoria phase using dynamic time warping?// Finance Research Letters -Vol. 67, (2024), s.105799-

DOI: