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Financial bubbles : mechanisms and diagnostics
Sornette, Didier; Cauwels, Peter - 2014
Financial bubbles are subject to debate and controversy. However, they are not well understood and are hardly ever … specific traces, bubbles may be recognised in advance: that is, before they burst. In this paper, we will explain the mechanism … behind financial bubbles in an intuitive way. We will show how the log-periodic power law emerges spontaneously from the …
Persistent link: https://www.econbiz.de/10010411859
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A simple mechanism for financial bubbles : time-varying momentum horizon
Lin, Li; Sornette, Didier - 2016
Building on the notion that bubbles are transient self-fulfilling prophecies created by positive feedback mechanisms …
Persistent link: https://www.econbiz.de/10011619422
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A creepy world
Sornette, Didier; Cauwels, Peter - 2013
Using the mechanics of creep in material sciences as a metaphor, we present a general framework to understand the evolution of financial, economic and social systems and to construct scenarios for the future. In a nutshell, highly non-linear out-of-equilibrium systems subjected to exogenous...
Persistent link: https://www.econbiz.de/10010257508
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Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash
Sornette, Didier; Demos, Guilherme; Zhang, Qun; … - 2015
and that started to burst in June 2015. The analysis is based on (i) the economic theory of rational expectation bubbles …
Persistent link: https://www.econbiz.de/10011412033
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Log-periodic power law and genelized hurst exponent analysis in estimating an asset bubble bursting time
Wątorek, Marcin; Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 3, pp. 49-58
We closely examine and compare two promising techniques helpful in estimating the moment an asset bubble bursts. Namely, the Log-Periodic Power Law model and Generalized Hurst Exponent approaches are considered. Sequential LPPL fitting to empirical financial time series exhibiting evident bubble...
Persistent link: https://www.econbiz.de/10011616763
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Loan originations and defaults in the mortgage crisis : further evidence
Adelino, Manuel; Schoar, Antoinette; Severino, Felipe - 2015 - Last revised: August 12, 2015
This paper addresses two critiques by Mian and Sufi (2015a, 2015b) that were released in response to the results documented in Adelino, Schoar and Severino (2015). We confirm that none of the results in our previous paper are affected by the issues put forward in these critiques; in particular...
Persistent link: https://www.econbiz.de/10011572465
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Chapter 12. Housing, Finance, and the Macroeconomy
Davis, Morris A.; Van Nieuwerburgh, Stijn - In: Handbook of regional and urban economics : volume 5, (pp. 753-811). 2015
In this chapter, we review and discuss the large body of research that has developed over the past 10-plus years that explores the interconnection of macroeconomics, finance, and housing. We focus on three major topics—housing and the business cycle, housing and portfolio choice, and housing...
Persistent link: https://www.econbiz.de/10014025303
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Predicting the unpredictable : forecastable bubbles and business cycles under rational expectations
Gracia, Eduard - 2012
median path of Tobin’s q ratio displays regular, periodic cycles of bubbles and crashes reflecting an agency problem between … ; efficient markets ; financial bubbles ; stock markets ; booms and crashes ; Tobin’s q ; business cycles ; economic rents …
Persistent link: https://www.econbiz.de/10009663233
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Recreating the South Sea bubble : lessons from an experiment in financial history
Giusti, Giovanni; Noussair, Charles; Voth, Hans-Joachim - 2014
Major bubble episodes are rare events. In this paper, we examine what factors might cause some asset price bubbles to …
Persistent link: https://www.econbiz.de/10010359796
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Collective affects and speculative bubbles in financial markets : a spinozist perspective
Bourghelle, David; Rozin, Philippe - In: Rethinking finance in the face of new challenges, (pp. 225-244). 2021
Persistent link: https://www.econbiz.de/10013186888