Title: Is There an AI Bubble? Robust Date-Stamping for Periods of Exuberance

Speaker: Abir Sakar, Ph.D Student, Cornell University

Time: 3:30 PM - 4:30 PM, Austin 313

Coffee, meet and greet: 3:00 PM, Austin 326

Link: Teams Link, Meeting ID: 231 368 937 955 092, Passcode: hy97X4Ym

Abstract: The recent surge in valuations of firms exposed to artificial intelligence has raised concerns about speculative exuberance in technology and semiconductor markets. Motivated by this episode, we develop a stochastic-volatility-robust ADF (SV-ADF) framework for date-stamping asset-price bubbles when prices exhibit persistent, time-varying volatility. Standard Dickey--Fuller procedures can be distorted in heteroskedastic environments, leading to unstable inference and spurious bubble classifications. We extend recursive ADF testing to autoregressive models with highly persistent mean and volatility components and derive nuisance-parameter-free asymmetric calibration rules for bubble origination and collapse. The resulting procedure delivers consistent date-stamping and remains implementable for real-time monitoring. Monte Carlo evidence shows improved power and dating accuracy relative to homoskedastic PWY tests. Applying the method to AI- exposed equities, including the "Magnificent Seven" and major semiconductor stocks, we find substantial cross-sectional heterogeneity in exuberance, with current bubble dynamics concentrated in Alphabet and TSMC, while Tesla and Nvidia exhibited earlier explosive episodes.

Bio of  Abir Sakar: I am a Ph.D student in the Department of Statistics and Data Science at Cornell University, where I am advised by Professor Matin T. Wells. I also work closely with Professor Jelena Bradic on problems in active statistical inference and statistical machine learning. More broadly, my research interests span time-series econometrics, statistical learning, and stochastic optimization. Prior to Cornell, I spent two wonderful years at Capital One. I received my B.Stat (2021) and M.Stat (2023 from Indian Statistical Institute, Kolkata.