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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
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Rational belief bubbles
Sohn, Hyun-U; Sornette, Didier - 2020
We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs … beliefs can thus account for speculative bubbles, without the need for irrational agents or limits to arbitrage. Many of the … shortcomings of REBs that make rational bubbles implausible can be overcome once we relax the ergodicity requirement. In particular …
Persistent link: https://www.econbiz.de/10012181099
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Resolving persistent uncertainty by self-organized consensus to mitigate market bubbles
Sornette, Didier; Andraszewicz, Sandra; Murphy, Ryan O.; … - 2016
bubbles in classical asset market experiments. Our setup is more realistic as it offers multiple securities that are … its rationality can be evaluated. Quick consensus emerges early yielding pronounced market bubbles. The overpricing …
Persistent link: https://www.econbiz.de/10011514493
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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
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Super-exponential growth expectations and the global financial crisis
Leiss, Matthias; Nax, Heinrich H.; Sornette, Didier - 2014
We construct risk-neutral return probability distributions from S&P 500 options data over the decade 2003 to 2013, separable into pre-crisis, crisis and post-crisis regimes. The pre-crisis period is characterized by increasing realized and, especially, option-implied returns. This translates...
Persistent link: https://www.econbiz.de/10010443041
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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
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Asset pricing with arbitrage activity
Hugonnier, Julien; Prieto, Rodolfo - 2013
We study an economy populated by three groups of logarithmic agents: Constrained agents subject to a portfolio constraint that limits their risk-taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to uncollateralized credit. Such credit...
Persistent link: https://www.econbiz.de/10010257492
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Measuring house price bubbles
Bourassa, Steven C.; Hoesli, Martin; Oikarinen, Elias - 2016
measure house price bubbles. We use an asset pricing approach to identify bubble periods retrospectively and then compare … ability to identify bubbles as they form. In view of the complexity of the asset pricing approach, we conclude that a simple …
Persistent link: https://www.econbiz.de/10011514230
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Expectations and aggregate risk
Bretscher, Lorenzo; Malkhozov, Aytek; Tamoni, Andrea - 2021
We estimate agents' expectations about future fundamentals using a dynamic stochastic generalequilibrium model augmented with anticipated shocks. Accounting for agents' expectations atthe business cycle horizon results in aggregate risk factor innovations that have significant explanatory power...
Persistent link: https://www.econbiz.de/10012643121
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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