搜索结果: 1-11 共查到“金融市场 bubbles”相关记录11条 . 查询时间(0.076 秒)
We present an extension of the Johansen-Ledoit-Sornette (JLS) model to include
an additional pricing factor called the “Zipf factor”, which describes the diversification
risk of the stock market por...
Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox
Risk neutral martingale derivatives efficient market bubble
2011/7/4
This paper highlights the role of risk neutral investors in generating endogenous bubbles
in derivatives markets.We propose the following theorem. A market for derivatives, which has all the
feature...
Market efficiency, anticipation and the formation of bubbles-crashes
renormalization group sociophysics opinion dynamic finance
2011/7/5
A dynamical model is introduced for the formation of a bullish or
bearish trends driving an asset price in a given market. Initially, each
agent decides to buy or sell according to its personal opin...
Financial LPPL Bubbles with Mean-Reverting Noise in the Frequency Domain
Financial LPPL Bubbles Mean-Reverting Noise Frequency Domain
2010/10/21
The log-periodic power law (LPPL) is a model of asset prices during endogenous bubbles. A major open issue is to verify the presence of LPPL in price sequences and to estimate the LPPL parameters. Est...
The log-periodic power law (LPPL) is a model of asset prices during endogenous bubbles. If the on-going development of a bubble is suspected, asset prices can be fit numerically to the LPPL law. The b...
In the current environment of financial distress, many governments are likely to soon become major holders of financial assets, but the policy debate focuses only on the likelihood and extent of shor...
Financial bubbles analysis with a cross-sectional estimator
Financial bubbles analysis cross-sectional estimator
2010/11/2
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical tool and investigate ...
A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals
Rational bubbles mean reversal positive feedbacks finite-time singularity superexponential growth Bayesian analysis log-periodic power law
2010/11/1
We present a self-consistent model for explosive financial bubbles, which combines a
mean-reverting volatility process and a stochastic conditional return which reflects nonlinear
positive feedbacks...
Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times
bubble super-exponential regime rational expectation critical time finite-time-singularity
2010/11/2
We propose two rational expectation models of transient financial bubbles with heterogeneous
arbitrageurs and positive feedbacks leading to self-reinforcing transient stochastic
faster-than-exponent...
Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
stock market crash financial bubble Chinese markets rational expectation bubble herding
2010/11/2
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bi...
Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
Financial crisis bubbles real estate derivatives out-of-equilibrium super-exponentia growth crashes complex systems
2010/11/1
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing ...