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Multi-asset financial bubbles in an agent-based model with noise traders' herding described by an n-vector Ising model
Cividino, Davide; Westphal, Rebecca; Sornette, Didier - 2021
We present an agent-based model (ABM) of a financial market with n 1 risky assets, whose price dynamics result from the interaction between rational fundamentalists and trend following imitative noise traders. The interactions and opinion formation of the noise traders are described by an...
Persistent link: https://www.econbiz.de/10012799633
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How market intervention can prevent bubbles and crashes
Westphal, Rebecca; Sornette, Didier - 2020
Using an agent-based model (ABM) with fundamentalists and chartists, prone to develop bubbles and crashes, we demonstrate the usefulness of direct market intervention by a policy maker, documenting strong performance in preventing bubbles and drawdowns and augmenting significantly the welfare of...
Persistent link: https://www.econbiz.de/10012271219
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A behavioral model of bubbles and crashes
Kaizoji, Taisei - Volkswirtschaftliche Fakultät, … - 2010
: buying the bubble asset and holding the risk-free asst. The noise trader’s behavior is modeled in a framework of the theory …-traders’ herd behavior gives cause to a bubble, and their positive-feedback trading prolongs bubble, but a bubble is necessarily …
Persistent link: https://www.econbiz.de/10011257785
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Bubbles, bank credit and macroprudential policies
Derviz, Alexis - 2013
We explore the ability of a macroprudential policy instrument to dampen the consequences of equity mispricing (a bubble …) and the correction thereof (the bubble bursting), as well as the consequences for real activity in a production economy … sentiment) become biased upwards/downwards. Economic activity in equilibrium is influenced by the bubble size. The presence of …
Persistent link: https://www.econbiz.de/10011605596
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Signaling asset price bubbles with time-series methods
Taipalus, Katja - 2012
This paper provides an early warning indicator for bubbles in financial markets. The indicator is based on traditional unit root tests, more precisely on the augmented Dickey-Fuller test and may be used in a repeated manner with rolling samples. The performance of the indicator is tested...
Persistent link: https://www.econbiz.de/10012148141
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Are bitcoin bubbles predictable? : combining a generalized Metcalfe's law and the LPPLS model
Wheatley, Spencer; Sornette, Didier; Huber, Tobias; … - 2018
We develop a strong diagnostic for bubbles and crashes in bitcoin, by analyzing the coincidence (and its absence) of fundamental and technical indicators. Using a generalized Metcalfe's law based on network properties, a fundamental value is quantified and shown to be heavily exceeded, on at...
Persistent link: https://www.econbiz.de/10011877663
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Applying approximate entropy (ApEn) to speculative bubble in the stock market
Saumitra, Bhaduri - Volkswirtschaftliche Fakultät, … - 2012
In contrast to the traditional duration dependence test, the paper introduces an order statistic known as Approximate Entropy to investigate the presence of speculative bubbles for a cross country sample. Using Approximate Entropy, the article examines four major crash in the US, Japan, Hong...
Persistent link: https://www.econbiz.de/10011259124
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Financial Frictions, Bubbles, and Macroprudential Policies
Derviz, Alexis - Česká Národní Banka - 2011
We explore the ability of a macroprudential policy instrument to dampen the consequences of equity mispricing (a bubble …) and the correction thereof (the bubble bursting), as well as the consequences for real activity in a production economy … sentiment) become biased upwards/downwards. Economic activity in equilibrium is influenced by the bubble size in conjunction …
Persistent link: https://www.econbiz.de/10009322475
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Applying approximate entropy (ApEn) to speculative bubble in the stock market
Saumitra, Bhaduri - Volkswirtschaftliche Fakultät, … - 2012
In contrast to the traditional duration dependence test, the paper introduces an order statistic known as Approximate Entropy to investigate the presence of speculative bubbles for a cross country sample. Using Approximate Entropy, the article examines four major crash in the US, Japan, Hong...
Persistent link: https://www.econbiz.de/10010601614
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Real Implications of Bursting Asset Price Bubbles in Economies with Bank Credit
Derviz, Alexis - In: Czech Journal of Economics and Finance (Finance a uver) 61 (2011) 1, pp. 92-116
We study the consequences of equity mispricing (a bubble) and the correction thereof (the bubble bursting) for real … bubble size in conjunction with agency problems caused by delegation of lending to relationship bankers. We explore the … uncollateralized credit) to dampen the consequences of a burst bubble. We find that macroprudential policies are more successful in …
Persistent link: https://www.econbiz.de/10009003421