This paper studies the effect of FOMC announcements on the dynamics of heterogeneous beliefs. The open interest of options decreases significantly after announcements, implying the associated high trading volume comes from unwinding positions with less disagreement. To measure this effect, I...

The 14th BIS Annual Conference took place in Lucerne, Switzerland, on 26 June 2015. The event brought together a distinguished group of central bank Governors, leading academics and former public officials to exchange views on the topic "Towards 'a new normal' in financial markets?". The papers...

We present a dynamic Rational Expectations (RE) bubble model of prices with the intention to evaluate it on optimal investment strategies applied to Bitcoin. Our bubble model is defined as a geometric Brownian motion combined with separate crash (and rally) discrete jump distributions associated...