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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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Bubble diagnosis and prediction of the 2005 - 2007 and 2008 - 2009 Chinese stock market bubbles
Jiang, Zhi-Qiang; Zhou, Wei-Xing; Sornette, Didier; … - 2009
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding … logperiodic power law (LPPL) model has been developed as a flexible tool to detect bubbles. The LPPL model considers the faster … diagnostic of bubbles. It embodies a positive feedback loop of higher return anticipations competing with negative feedback …
Persistent link: https://www.econbiz.de/10003971111
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Booms, busts and behavioural heterogeneity in stock prices
Hommes, Cars H.; Veld, Daan in't - 2015 - This draft: July 2015
We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...
Persistent link: https://www.econbiz.de/10011301214
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Follow the money : the monetary roots of bubbles and crashes
Corsi, Fulvio; Sornette, Didier - 2011
provide an early warning identification of bubbles. Estimating the FTS-GARCH on well-known historical bubble episodes suggest … the possibility to diagnose in real-time the presence of bubbles in financial time series. Minskian dynamics ; financial … bubbles ; positive feedback ; financial accelerator ; generalized FTS-GARCH …
Persistent link: https://www.econbiz.de/10009561751
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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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Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese Stock Market Bubbles
Jiang, Zhi-Qiang - 2010
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding …-periodic power law (LPPL) model has been developed as a flexible tool to detect bubbles. The LPPL model considers the faster … diagnostic of bubbles. It embodies a positive feedback loop of higher return anticipations competing with negative feedback …
Persistent link: https://www.econbiz.de/10013144342
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Tackling the volatility paradox: spillover persistence and systemic risk
Kubitza, Christian - 2021 - This version: April 13, 2021
builds up, during the run-up phase of crises and asset price bubbles, and increases when systemic risk materializes …
Persistent link: https://www.econbiz.de/10012499703
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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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Announcements of ECB unconventional programs : implications for the sovereign risk of Italy
Falagiarda, Matteo; Reitz, Stefan - 2013
This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...
Persistent link: https://www.econbiz.de/10009783711
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Financial Contagion During Lehman Default and Sovereign Debt Crisis : An Empirical Analysis on Euro Area Bond and Equity Markets
Gentile, Monica - 2012
The recent Euro area crisis, which has originally been driven mainly by macroeconomic factors, has had a strong impact also on financial markets leading internationally to what is referred as contagion, that is co-movements among asset prices which have been excessive respect to fundamentals....
Persistent link: https://www.econbiz.de/10013096061