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Economics-based financial bubbles (and why they imply strict local martingales)

Herdegen, Martin; Schweizer, Martin - 2015

In a numéraire-independent framework, we study a financial market with N assets which are all treated in a symmetric way. We define the fundamental value *S of an asset S as its superreplication price and say that the market has a strong bubble if *S and S deviate from each other. None of these...

Persistent link: https://www.econbiz.de/10011293465

Optimal investment in a Black-Scholes model with a bubble

Herdegen, Martin; Herrmann, Sebastian - 2013

There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework …

Persistent link: https://www.econbiz.de/10010257486

How market intervention can prevent bubbles and crashes

Westphal, Rebecca; Sornette, Didier - 2020

Using an agent-based model (ABM) with fundamentalists and chartists, prone to develop bubbles and crashes, we … demonstrate the usefulness of direct market intervention by a policy maker, documenting strong performance in preventing bubbles … bubbles by forming an expectation of the future return of the risky asset in the form of an exponential moving average of the …

Persistent link: https://www.econbiz.de/10012271219

U.S. metropolitan house price dynamics

Oikarinen, Elias; Bourassa, Steven C.; Hoesli, Martin; … - 2017

Using data for 70 U.S. metropolitan areas, this study explores spatial heterogeneity in house price dynamics. We use recent advances in panel econometrics that allow for spatial heterogeneity, cross-sectional dependence, and non-stationary but cointegrated data. We test for spatial differences...

Persistent link: https://www.econbiz.de/10011875693

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 "anchoring" on past price levels and the "probability...

Persistent link: https://www.econbiz.de/10012800780

Scaling laws and statistical properties of the transaction flows and holding times of bitcoin

Sornette, Didier; Zhang, Yu - 2024

Persistent link: https://www.econbiz.de/10014483276

The role of the end time in experimental asset markets

Kopányi-Peuker, Anita; Weber, Matthias - 2022

price dynamics with recurring bubbles in all treatments …

Persistent link: https://www.econbiz.de/10013192083

A dynamic equilibrium model of ETFs

Malamud, Semyon - 2015

I develop a dynamic general equilibrium model of exchange traded funds (ETFs) that accounts for the two-tier ETF market structure with both a centralized exchange (secondary market) and a creation/redemption mechanism (primary market) operating through market-making firms known as Authorized...

Persistent link: https://www.econbiz.de/10011412317

An improved method to predict assignment of stocks into Russell indexes

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2019

A growing literature uses the Russell 1000/2000 reconstitution event as an identification strategy to investigate corporate finance and asset pricing questions. To implement this identification strategy, researchers need to approximate the ranking variable used to assign stocks to indexes. We...

Persistent link: https://www.econbiz.de/10012134428

Best friend or worst enemy? : dynamics and multiple equilibria with financial arbitrage, production and collateral constraints

Zhang, Quan - 2017 - Last update: March 23, 2017

We develop a tractable model to study the macroeconomic impacts of limited arbitrage by linking arbitrage activities with the macroeconomy through collateralization. We show that the interactions between speculative trading and the business cycle can work as a powerful transmission mechanism,...

Persistent link: https://www.econbiz.de/10011626467

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