We propose a novel curvature-based indicator constructed on log-price time series that captures an interplay between trend, acceleration, and volatility found relevant to quantify risks and improve trading strategies. We apply it to diagnose explosive bubble-like behaviors in cryptocurrency price time series and provide early warning signals of impending market shifts or increased volatility. This improves significantly on standard statistical tests such as the Generalized Supremum Augmented Dickey–Fuller (GSADF) and the Backward SADF tests. Furthermore, the incorporation of our curvature-based indicator as a feature into the Light Gradient Boosting Machine enhances its predictive capabilities, as measured by classification accuracy and trading performance.

中文翻译：

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广义可见曲率：加密货币泡沫识别和价格趋势预测的指标


我们提出了一种基于对数价格时间序列的新颖的基于曲率的指标，该指标可以捕获与量化风险和改进交易策略相关的趋势、加速度和波动性之间的相互作用。我们应用它来诊断加密货币价格时间序列中的爆炸性泡沫行为，并提供即将发生的市场变化或波动性增加的早期预警信号。这显着改进了标准统计测试，例如广义至上增强迪基富勒 (GSADF) 和向后 SADF 测试。此外，将我们基于曲率的指标作为一项功能纳入光梯度增强机中，增强了其预测能力（通过分类准确性和交易性能来衡量）。