Yan, Wanfeng; Woodard, Ryan; Sornette, Didier - Department of Management, Technology and Economics …
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...