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Modeling speculative bubbles with diverse investor expectations
Phillips, Peter C. B. - In: Research in economics : an international review of economics 70 (2016) 3, pp. 375-387
Persistent link: https://www.econbiz.de/10011631179
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Financial market history : reflections on the past for investors today
Chambers, David (ed.); Dimson, Elroy (ed.) - Financial Market History <Veranstaltung> <2015, Cambridge> - 2016
Persistent link: https://www.econbiz.de/10011750576
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Asymmetric returns, gradual bubbles and sudden crashes
Huang, Weihong; Zheng, Huanhuan; Chia, Wai-mun - In: The European journal of finance 19 (2013) 5/6, pp. 420-437
Persistent link: https://www.econbiz.de/10010243605
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Econophysical bourse volatility : global evidence
Ghosh, Bikramaditya; Krishna Mysore Chidambareswaran - In: Journal of central banking theory and practice 9 (2020) 2, pp. 87-107
bubble in any stock market (bourse) across the geographical boundaries. This study examines forty two bourses (representing … embedded volatility, herd behaviour and nascent bubble. Overall the volatility distribution has been found to be Gaussian in … percent of indices under consideration showed traces of mild herd as well as bubble. The same indices were all found to be …
Persistent link: https://www.econbiz.de/10012305755
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Can we use volatility to diagnose financial bubbles? : lessons from 40 historical bubbles
Sornette, Didier; Cauwels, Peter; Smilyanov, Georgi - In: Quantitative finance and economics 2 (2018) 1, pp. 1-105
Persistent link: https://www.econbiz.de/10012137897
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How does bubble risk propagate among financial assets? : a perspective from the BSADF-vine copula model
Yao, Can-Zhong; Li, Min-Jian; Xu, Xin - In: International review of economics & finance : IREF 88 (2023), pp. 347-364
Persistent link: https://www.econbiz.de/10014475372
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A micro-foundation of a simple financial model with finite-time singularity bubble and its agent-based simulation
Yoshida, Naohiro - In: Economics and Business Letters : EBL 12 (2023) 4, pp. 277-283
Persistent link: https://www.econbiz.de/10014448489
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The anatomy of a bubble company : the London Assurance in 1720
Acheson, Graeme; Aldous, Michael; Quinn, William - In: The economic history review 77 (2024) 1, pp. 160-184
Persistent link: https://www.econbiz.de/10014486715
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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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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