This paper offers a new class of models for the term structure of forward interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, but constrain the shocks so that the forward rate curve is kept continuous. We term the shocks to the forward curve...

We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....

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...

We inspect the price volatility before, during, and after financial asset bubbles in order to uncover possible commonalities and check empirically whether volatility might be used as an indicator or an early warning signal of an unsustainable price increase and the associated crash. Some...

We present a detailed synthesis of the development of the Human Genome Project (HGP) from 1986 to 2003 in order to test the “social bubble” hypothesis that strong social interactions between enthusiastic supporters of the HGP weaved a network of reinforcing feedbacks that led to a widespread...

We review the “social bubble” hypothesis, which holds that strong social interactions between enthusiastic supporters of new ventures weave a network of reinforcing feedbacks that lead to a widespread endorsement and extraordinary commitment by those involved in the projects, beyond what...

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 exponential due to positive feedback. We show that...

We present a novel methodology to determine the fundamental value of firms in the social networking sector, motivated by recent realized IPOs and by reports that suggest sky-high valuations of firms such as facebook, Groupon, LinkedIn Corp., Pandora Media Inc, Twitter, Zynga. Our valuation of...

Following Levy and Roll [2010], we posit that the market portfolio is the efficient tangent Markowitz portfolio, i.e., it is mean-variance efficient. We then reverse engineer the expected returns and variance terms with constraints imposed by empirical data on a hierarchy of asset baskets. This...

This paper offers a new class of models for the term structure of forward interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, but constrain the shocks so that the forward rate curve is kept continuous. We term the shocks to the forward curve...