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Inefficient bubbles and efficient drawdowns in financial markets

Schatz, Michael; Sornette, Didier - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-56

Persistent link: https://www.econbiz.de/10012496907

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

Financial Fragility, Regime Switching and Monetary Policy - With Application to Emerging Markets

Semmler, Willi; Toure, Marieme - 2021

The experience of the Asian currency and financial crisis in the years 1997-8 encouraged economists to develop some open economy nonlinear macro models. Such models allow for nonlinearities – studying the effects of contractionary currency devaluation in contrast to the standard model of...

Persistent link: https://www.econbiz.de/10013247141

Estimating a banking-macro model using a multi-regime VAR

Mittnik, Stefan; Semmler, Willi - In: Advances in non-linear economic modeling : theory and …, (pp. 3-40). 2014

Persistent link: https://www.econbiz.de/10010251591

Follow the money : the monetary roots of bubbles and crashes

Corsi, Fulvio; Sornette, Didier - 2011

We propose a reduced form model for the Minskian dynamics of liquidity and of asset prices in terms of the so-called financial accelerator mechanism. In a nutshell, credit creation is driven by the market value of the financial assets employed as collateral in the bank loans. This leads to a...

Persistent link: https://www.econbiz.de/10009561751

Asset prices, booms and recessions : financial economics from a dynamic perspective

Semmler, Willi - 2006 - 2nd ed.

and financial crises of the U.S., Latin American, Asian as well as Euro-area countries. The current version of the book …

Persistent link: https://www.econbiz.de/10003139161

Asset prices, booms and recessions : financial market, economic activity and the macroeconomy ; with 22 tables

Semmler, Willi - 2003

Persistent link: https://www.econbiz.de/10001734208

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

"Speculative Influence Network" during financial bubbles : application to Chinese stock markets

Lin, Li; Sornette, Didier - In: Journal of economic interaction and coordination : JEIC 13 (2018) 2, pp. 385-431

Persistent link: https://www.econbiz.de/10011962258