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

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

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

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

Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash

Sornette, Didier; Demos, Guilherme; Zhang, Qun; … - 2015

The authors assess the performance of the real-time diagnostic, openly presented to the public on the website of the Financial Crisis Observatory (FCO) at ETH Zurich, of the bubble regime that developed in Chinese stock markets since mid-2014 and that started to burst in June 2015. The analysis...

Persistent link: https://www.econbiz.de/10011412033

Bubbles for Fama from Sornette

Zhao, Dongshuai; Sornette, Didier - 2021

Galvanized by the claims of Greenwood et al. in Bubbles for Fama that “a sharp price increase of an industry portfolio does not, on average, predict unusually low returns going forward”, and Fama’s quote (June, 2016) that “Statistically, people have not come up with ways of identifying...

Persistent link: https://www.econbiz.de/10012800716

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

Wehrli, Alexander; Sornette, Didier - 2020

Persistent link: https://www.econbiz.de/10012419619

Bitcoin bubble trouble

Kreuser, Jérôme; Sornette, Didier - 2018 - Revised 18-Jun-18

We present a dynamic Rational Expectations (RE) bubble model of prices with the intention to evaluate it on optimal investment strategies applied to Bitcoin. Our bubble model is defined as a geometric Brownian motion combined with separate crash (and rally) discrete jump distributions associated...

Persistent link: https://www.econbiz.de/10011899594

Dissection of Bitcoin's multiscale bubble history : from January 2012 to February 2018

Gerlach, Jan-Christian; Demos, Guilherme; Sornette, Didier - 2018

We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted market growth (drawups) and regimes of uninterrupted market...

Persistent link: https://www.econbiz.de/10011899669