Wehrli, Alexander; Sornette, Didier - 2021
this paper, we offer an explanation for one of these anomalies, the “excess volatility puzzle”, i.e. the observation that … inefficient) excess component. The endogenously induced excess volatility is found to be substantial, largely stable at longer … time scales and thus provides a plausible ex-planation for the excess volatility puzzle. Furthermore, strong endogenous …