Similar Search Results

Inefficient bubbles and efficient drawdowns in financial markets

Schatz, Michael; Sornette, Didier - 2018

At odds with the common “rational expectations” framework for bubbles, economists like Hyman Minsky, Charles Kindleberger and Robert Shiller have documented that irrational behavior, ambiguous information or certain limits to arbitrage are essential drivers for bubble phenomena and financial...

Persistent link: https://www.econbiz.de/10011900246

Institutional traders' behavior in an emerging stock market : empirical evidence on Polish pension fund investors

Voronkova, Svitlana; Bohl, Martin T. - 2003

Persistent link: https://www.econbiz.de/10001788512

Classification of flash crashes using the Hawkes(p,q) framework

Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 22 (2022) 2, pp. 213-240

Persistent link: https://www.econbiz.de/10013167733

A model of financial bubbles and drawdowns with non-local behavioral self-referencing

Malevergne, Yannick; Sornette, Didier; Wei, Ran - 2021

We propose a novel class of models in which the crash hazard rate is determined by a function of a non-local estimation … of mispricing. Rooted in behavioral finance, the non-local estimation embodies in particular the characteristic of … series because they assume that crashes occur in a single large negative jump, which is counterfactual. The model estimation …

Persistent link: https://www.econbiz.de/10012800780

Real-time forecasting and political stock market anomalies : evidence for the U.S.

Bohl, Martin T. (contributor); Döpke, Jörg (contributor); … - 2006

Using monthly data for the period 19532003, we apply a real-time modeling approach to investigate the implications of U.S. political stock market anomalies for forecasting excess stock returns. Our empirical findings show that political variables, selected on the basis of widely used model...

Persistent link: https://www.econbiz.de/10003359007

Crashes and high frequency trading : [an evaluation of risks posed by high-speed algorithmic trading]

Becke, Susanne von der; Sornette, Didier - 2011

Persistent link: https://www.econbiz.de/10009561750

Bubbles as Violations of Efficient Time-Scales

Sohn, H. - 2017

It is commonly overlooked that the concept of market efficiency embowers a time-dimension. Illustrating with an example from the class of persistent random walks, we show that a price process can be a martingale on one time-scale but inefficient on another. This means that just as market...

Persistent link: https://www.econbiz.de/10012942063

Real-Time Forecasting and Political Stock Market Anomalies : Evidence for the U.S

Bohl, Martin T. - 2016

Persistent link: https://www.econbiz.de/10012991175

Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process

Wehrli, Alexander; Sornette, Didier - 2021

Puzzling deviations from the predictions of rational finance theory have been extensively documented empirically. In this paper, we offer an explanation for one of these anomalies, the “excess volatility puzzle”, i.e. the observation that prices fluctuate more than fundamentally justified....

Persistent link: https://www.econbiz.de/10012518955

Rational belief bubbles

Sohn, Hyun-U; Sornette, Didier - 2020

We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, among an heterogenous population of agents, it is possible to hold more than one...

Persistent link: https://www.econbiz.de/10012181099