Bubbles Detection Measures

README.md

@@ -2,6 +2,13 @@
 
 This framework calculates, analyses and compares the following systemic risk measures:
 
+* **BUBBLES DETECTION MEASURES**
+  * `BUB (Bubbles Flag)`
+  * `BMPH (Boom Phases Flag)`
+  * `BRPH (Burst Phases Flag)`
+  * `BC (Bubbling Capitalization)`
+  * `BCP (Bubbling Capitalization Percentage)`
+  * *References*: [Phillips et al. (2015)](https://doi.org/10.1111/iere.12132), [Phillips & Shi (2018)](https://doi.org/10.1016/bs.host.2018.12.002), [Phillips & Shi (2019)](https://doi.org/10.1111/obes.12307), [Brunnermeier et al. (2020)](https://doi.org/10.1093/rfs/hhaa011)
 * **COMPONENT MEASURES**
   * `AR (Absorption Ratio)` by [Kritzman et al. (2010)](https://doi.org/10.2139/ssrn.1633027)
   * `CATFIN` by [Allen et al. (2012)](https://doi.org/10.1093/rfs/hhs094)
@@ -130,6 +137,9 @@ Datasets must be built following the structure of default ones included in every
 
 * It is not mandatory to include financial time series used by unwanted measures. Optional financial time series used by included measures can be omitted, as long as their contribution isn't necessary. Below a list of required and optional time series for each category of measures:
 
+  * **Bubbles Detection Measures:**
+    * *Required:* shares (prices).
+    * *Optional:* none.
   * **Component Measures:**
     * *Required:* shares (any).
     * *Optional:* none.

ScriptsDataset/analyze_dataset.m

@@ -139,7 +139,7 @@ function plot_crises(ds,id)
 
         ax = gca();
 
-        if (k <= 5)
+        if (k <= 10)
             legend(ax,p,ds.CrisisNames,'Location','southoutside','Orientation','horizontal');
 
             tooltips = [];
@@ -171,7 +171,14 @@ function plot_crises(ds,id)
     if (~isempty(tooltips))
         dcm = datacursormode(f);
         set(dcm,'Enable','on','SnapToDataVertex','off','UpdateFcn',@(targ,evtd)create_tooltip(targ,evtd,tooltips));
-        createDatatip(dcm,tooltips_target,[1 1]);
+
+        if (verLessThan('MATLAB','9.7'))
+            createDatatip(dcm,tooltips_target,[1 1]);
+        else
+            for i = 1:numel(tooltips_target)
+                createDatatip(dcm,tooltips_target(i),[1 1]);
+            end
+        end
     end
 
     function tooltip = create_tooltip(~,evtd,tooltips)

initialize.m

@@ -18,13 +18,13 @@
 
 rng('default');
 
-if (exist('up','var') == 0)
-    up = true;
-end
+%% PARALLEL COMPUTING
 
 delete(gcp('nocreate'));
 
-%% PARALLEL COMPUTING
+if (exist('up','var') == 0)
+    up = true;
+end
 
 if (up)
     pdprofile = parallel.defaultClusterProfile;