搜索结果: 1-15 共查到“经济学 bubbles”相关记录20条 . 查询时间(0.042 秒)
Inexperienced Investors and Bubbles
Mutual Funds Behavioral Finance Experience Learning Asset Pricing Stock Price Bubble
2015/4/22
We use mutual fund manager data from the technology bubble to examine the hypothesis that inexperienced investors play a role in the formation of asset price bubbles. Using age as a proxy for managers...
Endogenous Formation and Collapse Of Housing Bubbles
Endogenous Formation Collapse Of Housing Bubbles
2014/8/8
This paper develops an analytical framework and an agent-based spatial model of the housing market. We show that lenient nancing, in particular, low down payment requirement has caused business cycle...
Super-exponential bubbles in lab experiments: evidence for anchoring over-optimistic expectations on price
rational expectations nancial bubbles speculation anchoring laboratory experiments behavioral model super-exponential growth
2012/6/2
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 ...
Real Estate Bubbles and the Economic Crises: The Role of Credit Standards and the Impact of Tax
the institute of revenues rating valuation property tax
2011/9/11
This paper was presented at the 12th International Conference, Land Value Capture in Urban Development: Role of Property Tax in Local Finance, held in Warsaw, Poland, June 23 and 24, 2009. The confere...
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 por...
Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox
Risk neutral martingale derivatives efficient market bubble
2011/7/4
This paper highlights the role of risk neutral investors in generating endogenous bubbles
in derivatives markets.We propose the following theorem. A market for derivatives, which has all the
feature...
Market efficiency, anticipation and the formation of bubbles-crashes
renormalization group sociophysics opinion dynamic finance
2011/7/5
A dynamical model is introduced for the formation of a bullish or
bearish trends driving an asset price in a given market. Initially, each
agent decides to buy or sell according to its personal opin...
In this paper, we apply the theory of rational expectation bubbles to the Chinese house market. Rational expectation bubbles imply that negative returns on house prices are, theoretically, less likely...
Financial LPPL Bubbles with Mean-Reverting Noise in the Frequency Domain
Financial LPPL Bubbles Mean-Reverting Noise Frequency Domain
2010/10/21
The log-periodic power law (LPPL) is a model of asset prices during endogenous bubbles. A major open issue is to verify the presence of LPPL in price sequences and to estimate the LPPL parameters. Est...
The log-periodic power law (LPPL) is a model of asset prices during endogenous bubbles. If the on-going development of a bubble is suspected, asset prices can be fit numerically to the LPPL law. The b...
Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
Risk assessment uncertain cash flows Model ambiguity
2010/10/18
We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper (2006). These risk measures take into accou...
In the current environment of financial distress, many governments are likely to soon become major holders of financial assets, but the policy debate focuses only on the likelihood and extent of shor...
Financial bubbles analysis with a cross-sectional estimator
Financial bubbles analysis cross-sectional estimator
2010/11/2
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical tool and investigate ...
A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals
Rational bubbles mean reversal positive feedbacks finite-time singularity superexponential growth Bayesian analysis log-periodic power law
2010/11/1
We present a self-consistent model for explosive financial bubbles, which combines a
mean-reverting volatility process and a stochastic conditional return which reflects nonlinear
positive feedbacks...
Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times
bubble super-exponential regime rational expectation critical time finite-time-singularity
2010/11/2
We propose two rational expectation models of transient financial bubbles with heterogeneous
arbitrageurs and positive feedbacks leading to self-reinforcing transient stochastic
faster-than-exponent...