Our Models
GSY-LPPL(S) Bubble Risk Framework
A rally and a bubble can look identical from the outside. The GSY-LPPLS framework tells you which one you are holding, before it impacts your portfolio.
What it is
Two models. One question.
Has this market risen because the fundamentals support it, or because speculative momentum has taken over?
The LPPLS model reads the price trajectory. When an asset accelerates in a specific pattern, faster than sustainable, with a characteristic oscillatory signature, that structure has historically preceded sharp corrections by months to over a year. It does not call the peak. It identifies when the trajectory carries an elevated probability of one.
The GSY model reads the fundamentals. It screens sector dynamics across nearly four decades of data to assess whether the run-up is anchored in underlying activit, or has detached from it.
Neither is sufficient alone. A rising market can look like a bubble in the price data without being one. Requiring both trajectory and fundamental confirmation before flagging elevated risk is what makes the output usable.
Two models, one output
LPPLS reads the trajectory. GSY reads the fundamentals. Cross-confirmation is what makes the reading actionable rather than academic.
Validated across four decades
GSY sector screening covers nearly 40 years of data. LPPLS validated across dot-com, the GFC, Chinese equities 2015, and Bitcoin 2017.
A confidence reading, not a prediction
The output is a probability assessment, how consistently estimation windows confirm bubble dynamics. High confidence warrants constraint. Low confidence warrants monitoring.
Live in production
Running across major equity markets and sectors. Every output interpretable, auditable, and traceable to its academic source
Availability and coverage
Bubble diagnostics and fragility indicators are available across major equity markets and integrated within broader regime and risk monitoring frameworks.
Why It Matters
Know whether the risk is structural before it becomes visible
Market instability often becomes structural before it is reflected in prices or volatility.
You see it before the price does
Speculative dynamics build over months. By the time instability appears in volatility or drawdown, the exposure decision is already late. The framework identifies the structure while the trend still appears intact.
Fewer false alarms
Requiring both trajectory confirmation and fundamental confirmation before flagging elevated risk eliminates a large share of spurious readings. One model rising does not constitute a warning.
A basis you can document
When you tighten exposure or reduce a sector allocation, there needs to be a rationale on record. The framework provides one: interpretable outputs, versioned parameters, traceable methodology.
Market Insights
Selected research notes on macro regimes, risk dynamics, and portfolio implications across market cycles.
