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Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders
Kaizoji, Taisei; Leiss, Matthias; Saičev, Aleksandr I.; … - 2015
We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which …
Persistent link: https://www.econbiz.de/10011293440
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'Speculative Influence Network' During Financial Bubbles : Application to Chinese Stock Markets
Lin, Li - 2015
) during financial bubbles. The SIN is constructed in two steps. First, we develop a Hidden Markov Model (HMM) of regime …
Persistent link: https://www.econbiz.de/10013012557
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Super-exponential bubbles in lab experiments : evidence for anchoring over-optimistic expectations on price
Huesler, Andreas D.; Sornette, Didier; Hommes, Cars H. - 2012
We analyze a controlled price formation experiment in the laboratory that shows evidence for bubbles. We calibrate two … models that demonstrate with high statistical significance that these laboratory bubbles have a tendency to grow faster than …
Persistent link: https://www.econbiz.de/10009560804
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Self-fulfilling risk panics
Bacchetta, Philippe; Tille, Cédric; Van Wincoop, Eric - 2010
Recent crises have seen very large spikes in asset price risk without dramatic shifts in fundamentals. We propose an explanation for these risk panics based on self-fulfilling shifts in risk made possible by a negative link between the current asset price and risk about the future asset price....
Persistent link: https://www.econbiz.de/10008797071
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Systemic risk and sentiment : chapter contribution to handbook on systemic risk ; [edited by Jean-Pierre Fouque and Joe Langsam]
Barone-Adesi, Giovanni; Mancini, Loriano; Shefrin, Hersh - 2011
Regulators charged with monitoring systemic risk need to focus on sentiment as well as narrowly defined measures of systemic risk. This chapter describes techniques for jointly monitoring the co-evolution of sentiment and systemic risk. To measure systemic risk, we use Marginal Expected...
Persistent link: https://www.econbiz.de/10009375111
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On the lease rate, the convenience yield and speculative effects in the gold futures market
Barone-Adesi, Giovanni; Geman, Hélyette; Theal, John - 2009
By examining data on the gold forward offered rate (GOFO) and lease rates over the period 1996- 2009, we conclude that the convenience yield of gold is better approximated by the lease rate than the interest-adjusted spread of Fama amp; French (1983). Using the latter quantity, we study the...
Persistent link: https://www.econbiz.de/10003967104
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Regulating asset price risk
Bacchetta, Philippe; Tille, Cédric; Van Wincoop, Eric - 2011
There has been a long debate about whether speculators are stabilizing or not. We consider a model where speculators have a stabilizing role in normal times, but may also provoke large risk panics. The very feature that makes arbitrageurs liquidity providers in normal times, namely their...
Persistent link: https://www.econbiz.de/10009009577
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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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Early warning signals of financial crises with multi-scale quantile regressions of log-periodic power law singularities
Zhang, Qun; Zhang, Qunzhi; Sornette, Didier - 2015
-price dynamics to diagnose financial bubbles by providing three main innovations. First, we introduce the quantile regression to the …\textsuperscript{TM} and Trust\textsuperscript{TM} indicators that enrich considerably the diagnostic of bubbles. Using extensive synthetic … signals, a detailed analysis of the "S\&P 500 1987" bubble and the application to 16 historical bubbles, we show that the …
Persistent link: https://www.econbiz.de/10011412424
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Market impact and performance of arbitrageurs of financial bubbles in an agent-based model
Westphal, Rebecca; Sornette, Didier - 2019
We analyse the consequences of predicting and exploiting financial bubbles in an agent-based model, with a risky and a … their ability to diagnose financial bubbles from the endogenous price history to determine optimal entry and exit trading … inefficiencies and stabilise the market by arbitraging the bubbles. At larger proportions, DR tend to destabilise prices, as their …
Persistent link: https://www.econbiz.de/10012051958