dr inż. Marcin Potrykus | Gdańsk University of Technology

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...

In light of growing concerns about climate change and environmental issues, investor interest has surged in the new green economy market. However, the existing literature is limited regarding potential price bubble and co-bubble within this new domain. This study examines price bubble and co-bubble in the new green economy market, covering 31 indexes classified into three groups: the green economy market and its components, geographical...

The present study aims to verify the autumn effect in the gold market, first presented 10 years ago by Dirk Baur in the paper “The autumn effect of gold” and to investigate the calendar effects occurring for other precious metals. This empirical research is presented in a way to place the results obtained in the context of the Efficient Market Hypothesis (EMH) and the more current Adaptive Market Hypothesis (AMH). The study was...

This paper used the GSADF test to determine the periods defined in this paper as price bubbles in the three markets studied, i.e. the investment wine market, precious metal market and national stock market indices of G-7 countries. The results obtained enabled the calculation of the values of the phi correlation coefficients, which served the research objective of assessing the co-occurrence of price bubbles in the markets analysed....

This paper examines thirty-five commodities, grouped into three market sectors (energy, metals, agriculture & livestock) in terms of the occurrence of price bubbles. The study was based on monthly data for each commodity separately and, in a panel approach, for selected sectors and for all commodities combined. The GSADF test and its version for panel data – panel GSADF – were used to identify bubbles. The beginning and end of...