Showing 1 - 10 of 12
-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 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
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
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
We augment the existing literature using the Log-Periodic Power Law Singular (LPPLS) structures in the log-price dynamics to diagnose financial bubbles by providing three main innovations. First, we introduce the quantile regression to the LPPLS detection problem. This allows us to disentangle...
Persistent link: https://www.econbiz.de/10011412424
We introduce a model for portfolio selection with an extendable investment universe where the agent faces a trade-off between exploiting existing and exploring for new investment opportunities. An agent with mean-variance preferences starts with an existing investment universe consisting of a...
Persistent link: https://www.econbiz.de/10012271124
We develop a strong diagnostic for bubbles and crashes in bitcoin, by analyzing the coincidence (and its absence) of fundamental and technical indicators. Using a generalized Metcalfe's law based on network properties, a fundamental value is quantified and shown to be heavily exceeded, on at...
Persistent link: https://www.econbiz.de/10011877663
We propose a dynamic Rational Expectations (RE) bubble model of prices with the intention to exploit it for and evaluate it on optimal investment strategies. 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/10011865575