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Efficient Markets and the Law : A Predictable Past and an Uncertain Future
Hu, Henry T. C. - 2012
This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...
Persistent link: https://www.econbiz.de/10013100915
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Evaporating Liquidity
Nagel, Stefan - 2011
liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time … Ratios during times of high VIX. The results point to withdrawal of liquidity supply, and an associated increase in the … expected returns from liquidity provision, as a main driver behind the evaporation of liquidity during times of financial …
Persistent link: https://www.econbiz.de/10013133779
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What Predicts Financial (In)Stability? A Bayesian Approach
Eidenberger, Judith - 2016
This paper contributes to the literature on early warning indicators by applying a Bayesian model averaging approach. Our analysis, based on Austrian data, is carried out in two steps: First, we construct a quarterly financial stress index (AFSI) quantifying the level of stress in the Austrian...
Persistent link: https://www.econbiz.de/10012988715
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What Predicts Financial (In)Stability? A Bayesian Approach
Eidenberger, Judith - 2015
This paper contributes to the literature on early warning indicators by applying a Bayesian model averaging approach. Our analysis, based on Austrian data, is carried out in two steps: First, we construct a quarterly financial stress index (AFSI) quantifying the level of stress in the Austrian...
Persistent link: https://www.econbiz.de/10013030430
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Improving the Value at Risk Forecasts : Theory and Evidence from the Financial Crisis
Halbleib, Roxana - 2011
The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to …
Persistent link: https://www.econbiz.de/10013133670
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Overpricing persistence in experimental asset markets with intrinsic uncertainty
Sornette, Didier; Andraszewicz, Sandra; Wu, Ke; Murphy, … - 2020
To study coordination in complex social systems such as financial markets, the authors introduce a new prediction market set-up that accounts for fundamental uncertainty. Nonetheless, the market is designed so that its total value is known, and thus its rationality can be evaluated. In two...
Persistent link: https://www.econbiz.de/10012231540
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Predicting financial market crashes using ghost singularities
Smug, Damian; Ashwin, Peter; Sornette, Didier - 2017
bubbles. By using the formalism of dynamical system theory, we explain what drives the bubbles and how foreshocks or …
Persistent link: https://www.econbiz.de/10011762259
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Financial bubbles : mechanisms and diagnostics
Sornette, Didier; Cauwels, Peter - 2014
dynamics and investment styles. We argue that the risk of a major correction, or even a crash, becomes substantial when a …
Persistent link: https://www.econbiz.de/10010411859
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Forecasting Crash in Financial Market Using LPPL Model
2020
LPPL is an application of power-law which states the pace at which bubble will form. Financial markets often witness powerful traces of Power Law. Each financial crash globally can be linked with the Power Law connection. Log-Periodic Power Law (LPPL) is a framework model to identify the...
Persistent link: https://www.econbiz.de/10012830890
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Forecasting financial crashes : a dynamic risk management approach
Gerlach, Jan-Christian; Zhao, Dongshuai; Sornette, Didier - 2020
environment interspersed by corrections increasing in amplitude and frequency. This calls for more adaptive dynamic risk … risk that should accurately be estimated is crash risk.This article applies the Log-Periodic Power Law Singularity (LPPLS …) model of endogenous asset price bubbles to monitor crash risk. The model is calibrated to 15 years market history for five …
Persistent link: https://www.econbiz.de/10012419688