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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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Super-exponential RE bubble model with efficient crashes
Kreuser, Jerome; Sornette, Didier - 2017
crash (and rally) discrete jump distributions associated with positive (and negative) bubbles. We assume that crashes tend …, which has been previously proposed as a general definition of bubbles. Our bubble model also allows for a sequence of small …
Persistent link: https://www.econbiz.de/10011865575
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A simple mechanism for financial bubbles : time-varying momentum horizon
Lin, Li; Sornette, Didier - 2016
Building on the notion that bubbles are transient self-fulfilling prophecies created by positive feedback mechanisms …
Persistent link: https://www.econbiz.de/10011619422
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Bitcoin bubble trouble
Kreuser, Jérôme; Sornette, Didier - 2018 - Revised 18-Jun-18
(and rally) discrete jump distributions associated with positive (and negative) bubbles. The RE condition implies that the …
Persistent link: https://www.econbiz.de/10011899594
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Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash
Sornette, Didier; Demos, Guilherme; Zhang, Qun; … - 2015
and that started to burst in June 2015. The analysis is based on (i) the economic theory of rational expectation bubbles …
Persistent link: https://www.econbiz.de/10011412033
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The equity market implications of the retail investment boom
Beck, Philippe van der; Jaunin, Coralie - 2021
This paper quantifies the impact of Robinhood traders on the US equity market. Within a structural model, we estimate retail and institutional demand curves and derive aggregate pricing implications via market clearing. The inelastic nature of institutional demand allows Robinhood traders to...
Persistent link: https://www.econbiz.de/10012487631
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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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Equity is cheap for large financial institutions : the international evidence
Gandhi, Priyank; Lustig, Hanno; Plazzi, Alberto - 2016 - This version: June 11, 2016
In most countries, equity is a cheap source of funding for a country's largest financial institutions. On average, the stocks of the top 10% financial companies in a country account for over a quarter of total market capitalization, but these stocks earn returns that are significantly lower than...
Persistent link: https://www.econbiz.de/10011515871
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Hedge fund stock trading in the financial crisis of 2007 - 2009
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011 - Rev. version May 2011
Hedge funds significantly reduced their equity holdings during the recent financial crisis. In 2008Q3-Q4, hedge funds sold about 29% of their aggregate portfolio. Redemptions and margin calls were the primary drivers of selloffs. Consistent with forced deleveraging, the selloffs took place in...
Persistent link: https://www.econbiz.de/10009009543
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Diagnosis and prediction of market rebounds in financial markets
Yan, Wanfeng; Woodard, Ryan; Sornette, Didier - 2010
We introduce the concept of “negative bubbles” as the mirror image of standard financial bubbles, in which positive … feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the Johansen …-Ledoit-Sornette (JLS) model of rational expectation bubbles with a hazard rate describing the collective buying pressure of noise traders …
Persistent link: https://www.econbiz.de/10003979508