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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 and continuous updates of the investors' beliefs and sentiments. The conditional expected returns...
Persistent link: https://www.econbiz.de/10003970340
-agent model with a representative investor and a fund manager in an asymmetric information framework. This model shows that the … Fee ; Mutual Fund ; Asymmetric Information ; Principal-Agent Relationship ; Markup …
Persistent link: https://www.econbiz.de/10009561613
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
We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two elements: 1) the Log Periodic Power Law (LPPL) model to describe endogenous price dynamics originated from positive feedback loops between economic agents; and 2) a diffusion...
Persistent link: https://www.econbiz.de/10010411858
Persistent link: https://www.econbiz.de/10009561750
obtained by using a general pattern recognition method which combines the information obtained at multiple times from a … genuine information and obtain real skill from the calibration of negative bubbles with the JLS model. We conclude that …
Persistent link: https://www.econbiz.de/10003979508
Chapter Summary: We consider the recent financial crisis as an overlapping sequence of interdependent financial bubbles followed by their collapse. Governments and regulatory agencies have made it a prime goal to moderate future crises. Many attempts at financial, economic and social engineering...
Persistent link: https://www.econbiz.de/10008797062
Persistent link: https://www.econbiz.de/10003961709
Financial bubbles are subject to debate and controversy. However, they are not well understood and are hardly ever characterised specifically, especially ex ante. We define a bubble as a period of unsustainable growth, when the price of an asset increases ever more quickly, in a series of...
Persistent link: https://www.econbiz.de/10010411859
We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....
Persistent link: https://www.econbiz.de/10011411974