The Bubble Index

Download Pre-Built Jar

The Bubble Index, a Java application designed to monitor LPPL Oscillations in financial markets. All results can be viewed at: https://www.thebubbleindex.com

For information on the algorithm see: http://arxiv.org/abs/cond-mat/0201458

Feel free to comment, suggest changes, or point out bugs/problems.

Overview
Getting Started
The Data
The Graphs
Utilities
Compiling From Source

Overview

First make sure Java 8 JDK is installed and working on your computer (or JRE if not building).

ProgramData Folder and its Subdirectories.

To run the program with a desired index, stock, currency, or commodity the user must create the following folders in the same directory as Bubble_Index.jar:

ProgramData

Now create folders within the ProgramData directory. These must match the name of respective .csv files which contain a list of all selections contained in the category:

Indices - Indices.csv

Currencies - Currencies.csv

Stocks - Stocks.csv

Commodities - Commodities.csv

Within each of these folders, create a folder named after the desired index. For example, within the Stocks folder have the following folders:

TSLA

JCP

AAPL

Create the "List" .csv files.

In the ProgramData folder, the .csv files listed below must contain the list of desired selection names which are displayed in the GUI. These should contain a list of all the folders in each sub-directory. The contents of these files must be in the correct format, with each item separated by a "\n" character, i.e. each item is on a separate line:

Indices.csv

Currencies.csv

Stocks.csv

Commodities.csv

Create the "CategoryList" .csv file.

In the ProgramData folder, the CategoryList.csv file which contains all the category types which are displayed in the GUI dropdown menu.

Create the "UpdateList" .csv files.

To update the data, there must be an UpdateCategories.csv file in the ProgramData directory and an UpdateSelection.csv file in each of the sub-directories. The contents and format of the UpdateCatagories.csv should be like this:

Indices

Currencies

Stocks

Commodities

And the contents and format of the UpdateSelection.csv should be like this:

Name,DataSource,QuandlDataset,QuandlName,QuandlColumn(startindex=1),isYahooIndex,Overwite TSLA,Yahoo,NA,NA,0,FALSE,TRUE

The Name value must be the string corresponding to the individual folder for this time series in the ProgramData sub-directories.

The DataSource value must be one of three values:

Yahoo

FED

QUANDL

The QuandlDataset value must be the string of the dataset in the Quandl url, or NA.

The QuandlName value must be the name string in the url of the time series on Quandl, or NA.

The QuandlColumn value must be the integer representing the column location of the closing or settle price if the data is obtained from Quandl or NA if not.

The isYahooIndex value must be set to TRUE if the time series is a Yahoo Finance Index, i.e. its quote contains the carrot symbol ^ or set to FALSE if not an index.

The Overwrite value must be set to TRUE if the time series values will overwrite any existing data, or set to FALSE if this is not desired.

(Optional) To specify runtime GUI properties and Lomb-Scargle properties:

In the ProgramData folder, create the files gui.properties and lombscargle.properties. Examples:

gui.properties

omega=6.28
tcrit=21.0
mcoeff=0.38
windows=52,104,153
threads=4
begdate=2012-12-31
enddate=2014-05-23

lombscargle.properties

freqsize=70
qsize=18
hsize=19

Getting Started

Make sure the program directory is set up as described in Installation. There is a GUI and non-GUI command line mode to run the program. Either mode can be started from the terminal/command prompt. The Bubble_Index.jar executable must be located in the same directory as the ProgramData folder.

GUI Mode

The GUI Mode can be started by simply double clicking the Bubble_Index.jar executable jar.

To start from command, enter:

java -jar Bubble_Index.jar

command while in the folder containing the Bubble_Index.jar executable. Or Issue:

java -jar /dir_path/Bubble_Index.jar

To get started with The Bubble Index, the daily data must be downloaded or updated. This is all done automatically by clicking the Update All button.

Once the data has been updated, there are two ways to proceed: calculate a single time series or calculate the values for all the times series listed in the drop down category. Select the Plot Graph check box if a graph is desired. When plotting, you may specify the Beginning and End Dates via the GUI.

Set Model Parameters

Enter the desired model parameters for Omega, M, and T_critical. The default values are the values which are used for the website indices. These parameters are found in the LPPL Oscillation model equation: http://arxiv.org/abs/cond-mat/0201458. Enter the length of data (windows) with which to run the calculations. This is a comma separated list. Ex. 52, 104, 153, 256, 512

Run a Single Time Series

Choose the desired time series from the drop down selection boxes. Adjust the model window lengths if desired. Click Run. Wait for the program to calculate the values. If this is the first run, it may take several hours depending on the hardware available. After completion, the GUI will say "Done." If the Plot Graph check box was selected, a two windows should appear. One contains The Bubble Index values plotted with the daily values. The other is a graph of the derivatives. (Warning: Times series with dates before 1900 will NOT plot)

Run All Names

Choose the desired category. Click the Run All Names button. The program will Run through all the indices in the category type.

Run All Types

Click the Run All Types button. The program will Run through all the types in every category.

The Stop button may be used to stop the calculation of a single time series.

The Exit button closing the program.

Non-GUI Command Line Mode

Open a terminal or command prompt. Navigate to the directory of installation.
Issue the appropriate command:

java -jar Bubble_Index.jar noGUI RunType Category Selection Windows Threads T_Crit M Omega ForceCPU

NOTE: Selection only applies if RunType=Single; Selection and Category do not apply if RunType=All

Examples:

Run all entries in the Currencies category, 100 threads with CPU:

java -jar Bubble_Index.jar noGUI Category Currencies 3000,3200,3500,3700,4000 100 21.0 0.38 6.28 true

Run BITSTAMPUSD with 4 threads, GPU:

java -jar Bubble_Index.jar noGUI Single Currencies BITSTAMPUSD 153,256 4 21.0 0.38 6.28 false

Run All categories and all entries with 4 threads and CPU:

java -jar Bubble_Index.jar noGUI All 512,1260 4 21.0 0.38 6.28 true

Update data:

java -jar Bubble_Index.jar noGUI Update

Update data with a specified Quandl API key:

java -jar Bubble_Index.jar noGUI Update QuANdLkEy

The Data

The program stores the calculated output as a comma separated file (sorry for my inconsistencies with file types -- the daily data files are labeled as .csv but they are really .tsv files) in a ProgramData sub-directory corresponding the to category and the name of the time series.

Each window length will create its own .csv file. For example, 52 days for TSLA will create a file called TSLA52days.csv.

Each of these files has the following header:

Period, Date, Value

The Period is the number index of the calculated value.

The Date is the date of The Bubble Index value corresponding with the time series.

The Value is the calculated value of The Bubble Index.

Each folder should contain a *dailydata.csv file. This is a two column tsv file with the date in the first column and the price time series in the second column. The date format is: YYYY-MM-DD

To run a single window length, simply input that number, ex. 1764, into ALL of the window length boxes.

As part of the algorithm and to make The Bubble Index values comparable for all price trajectories, all price time series are adjusted internally to begin at 100. Thus, all values of the same window are comparable. In other words, TSLA512days.csv values can be directly compared with DJIA512days.csv.

If for any reason an error or problem repeatedly occurs simple delete the .csv files and start over with the Update All button.

The Graphs

If the Plot Graph box is checked, then two plots will be generated with based on methods from http://www.jfree.org/jfreechart/index.html.

As noted previously, JFreeChart does not support dates before 1900 at the time of writing this.

If you only want to graph a single window length, ex. 1764 days, simply input 1764 into all of the first four window length boxes.

If you want a custom date range, enter the correct date range in the date range boxes and check Custom Date and Plot Graph.

Utilities

In the Utilities section, there are several Maven projects: CreateCompositeFiles, CreateD3Files, CreateXYZFiles, and CreateHTML3DFiles.

CreateD3Files.jar - Creates D3 timeseries to be used by D3 JavaScript.

Place the jar in the same directory as the ProgramData folder and execute the following command from the terminal or command prompt:

java -jar CreateD3Files.jar

CreateCompositeFiles.jar - Creates the Composite Files and their associated D3 timeseries.

Place the jar in the same directory as the ProgramData folder and execute the following command from the terminal or command prompt:

java -jar CreateCompositeFiles.jar

CreateXYZFiles - Convert the combined windows file (created above) into the (x, y, z, description) file format in order to be processed by 3DFieldPro.

Place jar in the same directory as the ProgramData folder. This utility will take the combined file and create a new file which contains all the entries in the (x, y, z, string) format which many 3D programs prefer.

Now navigate to the folder and execute the following command from the terminal or command prompt:

java -jar CreateXYZFiles.jar

CreateHTML3DFiles -