Proactive Structural Simulation of US Mortgage Crisis impact
on daily Dow Jones China Global Stock Indices
Spline
GARCH simulation of China Macroeconomic, housing market control impact on ShSZ 300 Futures Prices, Risks Early Warning
Warren Huang
,
OSA, Global Strategic Management,
www.osawh.com
wh3928@yahoo.com
Abstract
This paper extended
Dr. .Warren Huang’s 30
years pioneering proactive structural interest rate,
currency stocks, bond,
housing , commodities asset prices bubbles bursts Operations Simulation Analysis (OSA) to R. Engles Spline-GARCH and Granger’s Causes and Casualty analysis
co-integration of dynamic macro, industrial finance time series estimation.
This research take advantages of OSA thousands artificial intelligence, neural
net based causes and consequences simulators , which have been developed, implemented for
last 20 years proactive strategic investment, markets, credit risks early
warning for 30 million
China, US Taiwan 15 cities 30 million institutional, private
investors, QFII,
QDII, real estate, multinational oil CEO, seniors executives and
24 global central bank governors, risks management conferences.
These proactive structural artificial intelligence neural net based integrated
macro financial, industrial economic Operation Simulation Analysis (OSA) tracking, forecast years, months ahead of the
causes, onset, spread, recovery, early warning of last 20 years global banking,
financial and asset bubble burst loan defaults crisis impact on real time daily global stock indices prices.
These models replacing current 30 year old
probabilistic, statistical CAPM asset pricing, provide proactive, structural deterministic
simulation of last 20 years global
monetary, economic policy, housing, commodities price bubbles impact on daily interest rate, currency, stock indices
and China Peoples Bank monetary, economic policy, macro-economic, housing
industry price bubbles control , inflation rate, RMB currency hot money speculation, Dow
Jones Index ( global investors sentiments, US mortgage crisis) impact on China
stock price bubble, Shanghai-Shenzhen 300 index
futures price. It confirm OSA analysis among the
dependent,-independent variables, with correlation constant greater than 0.95
and average error below 1.8 % in covering daily data from Jan 2005-
Further application of EGARCH to currency, oil prices, mortgage loan default have
been achieved jointly by Dr. Huang and this author.
Keyword : Housing Bubbles, Equities bubbles, Operations Simulations Analysis,
proactive structural CAPM global stock indices, credit risk, market risks, currency
interest rates derivatives pricing , risks hedging,
risk management
Presented to International Financial Engineering Risk Management Conference,
Peking University, June 12, 2007, Beijing