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The Souk Al-Manakh: the anatomy of a pure price-chasing bubble
Veneroso, Frank; Pasquali, Mark - 2021
It is widely agreed that the Nasdaq during the dot-com era 20 years ago was a full-fledged stock market bubble. Recently, the US stock market according to many metrics has become significantly more speculative and overvalued than it was at the dot-com peak 20 years ago. In both instances, a very...
Persistent link: https://www.econbiz.de/10012496514
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What Does Financial Market Do? The Formation of Share Market Prices Under Heterogeneous Beliefs and Common Knowledge
Biondi, Yuri - 2012
Financial economic models often assume that investors know (or agree on) the fundamental value of the shares of the firm, easing the passage from the individual to the collective dimension of the financial system generated by the Share Exchange over time. Our model relaxes that heroic assumption...
Persistent link: https://www.econbiz.de/10013114734
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The Dynamics of Cross-Boundary Fire - Financial Contagion between the Oil and Stock Markets
Wang, Haiying - 2020
switching-copula-extreme value theory (MRS-copula-EVT) model to quantitatively investigate financial contagion and its …
Persistent link: https://www.econbiz.de/10012824924
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On the 'Usual' Misunderstandings between Econophysics and Finance : Some Clarifications on Modelling Approaches and Efficient Market Hypothesis
Ausloos, Marcel - 2018
In line with the recent research and debates about econophysics and financial economics, this article discusses on … econophysics, the methodology used by financial economists is frequently considered as a top-down approach (starting from a priori …-up approach. Although this dualist perspective is very common in the econophysics literature, this paper claims that the …
Persistent link: https://www.econbiz.de/10012907171
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Identifying spillover effect & bubble in Bangladeshi asset markets : an analysis of stock market and real estate
Rahman, Sisili; Das, Biplab; Farah, Tazrina - In: International journal of economics and financial issues … 8 (2018) 6, pp. 76-83
Persistent link: https://www.econbiz.de/10011995922
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Asset price bubbles : existence, persistence and migration
Gómez González, José Eduardo; Ojeda-Joya, Jair N.; … - In: The South African journal of economics 85 (2017) 1, pp. 52-67
Persistent link: https://www.econbiz.de/10011667418
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Boom-bust cycles and their explanatory factors in the Tunisan stck market
Hammami, Haifa; Boujelbene, Younes - In: International journal of managerial and financial accounting 5 (2013) 2, pp. 202-218
Persistent link: https://www.econbiz.de/10009746345
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Different methodologies and uses of the Hurst exponent in econophysics
Nieves López García, María de las; Ramos-Requena, J. P. - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 2, pp. 107-119
Persistent link: https://www.econbiz.de/10012063553
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Heterogeneous speculators and stock market dynamics : a simple agent-based computational model
Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020
We propose a simple agent-based computational model in which speculators' trading behavior may cause bubbles and crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby replicating five important stylized facts of stock...
Persistent link: https://www.econbiz.de/10012257370
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Predictability and herding of bourse volatility : an econophysics analogue
Ghosh, Bikramaditya; Krishna, Mysore Chidambareswaran; … - In: Investment management and financial innovations 15 (2018) 2, pp. 317-326
Persistent link: https://www.econbiz.de/10012055468