Showing 1 - 10 of 18
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bifurcations and phase transitions, the logperiodic power law (LPPL) model has been developed as a...
Persistent link: https://www.econbiz.de/10003971111
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii)the mathematical and statistical physics of bifurcations and phase transitions, the log-periodic power law (LPPL) model has been developed as a...
Persistent link: https://www.econbiz.de/10013144342
Persistent link: https://www.econbiz.de/10011399387
Persistent link: https://www.econbiz.de/10010243610
We present a plausible micro-founded model for the previously postulated power law finite time singular form of the crash hazard rate in the Johansen-Ledoit-Sornette model of rational expectation bubbles. The model is based on a percolation picture of the network of traders and the concept that...
Persistent link: https://www.econbiz.de/10011514360
We present an extension of the Johansen-Ledoit-Sornette (JLS) model to include an additional pricing factor called the Zipf factorʺ, which describes the diversification risk of the stock market portfolio. Keeping all the dynamical characteristics of a bubble described in the JLS model, the new...
Persistent link: https://www.econbiz.de/10009273110
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...
Persistent link: https://www.econbiz.de/10009560804
Persistent link: https://www.econbiz.de/10001484696
We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which fundamentalist and chartist traders co-exist. Fundamentalists form expectations on the return and risk of a risky asset and maximize their constant relative risk aversion expected utility...
Persistent link: https://www.econbiz.de/10011293440
We present an extension of the Johansen-Ledoit-Sornette (JLS) model to include an additional pricing factor called the "Zipf factor'', which describes the diversification risk of the stock market portfolio. Keeping all the dynamical characteristics of a bubble described in the JLS model, the new...
Persistent link: https://www.econbiz.de/10013089334