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A simple model for asset price bubble formation and collapse
simple model asset price bubble formation and collapse
2010/10/21
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenome...
Scaling and multiscaling in financial indexes: a simple model
Scaling multiscaling financial indexes simple model
2010/10/20
We propose a simple stochastic model for time series which is analytically tractable, easy to simulate and which captures some relevant stylized facts of financial indexes, including scaling properti...
A simple model of mortality trends aiming at universality: Lee Carter + Cohort
mortality trends aiming universality
2010/10/19
The Lee Carter modelling framework is widely used because of its simplicity and robustness despite its inability to model specific cohort effects. A large number of extensions have been proposed that ...