Related papers: The Financial Bubble Experiment: Advanced Diagnost…
Our study empirically predicts the bubble of non-fungible tokens (NFTs): transferable and unique digital assets on public blockchains. This topic is important because, despite their strong market growth in 2021, NFTs on a project basis have…
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…
We develop a methodology for detecting asset bubbles using a neural network. We rely on the theory of local martingales in continuous-time and use a deep network to estimate the diffusion coefficient of the price process more accurately…
We propose a novel model, the Hyped Log-Periodic Power Law Model (HLPPL), to the problem of quantifying and detecting financial bubbles, an ever-fascinating one for academics and practitioners alike. Bubble labels are generated using a…
We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted…
This paper deals with asset price bubbles modeled by strict local martingales. With any strict local martingale, one can associate a new measure, which is studied in detail in the first part of the paper. In the second part, we determine…
We present a heuristic argument for the propensity of Topological Data Analysis (TDA) to detect early warning signals of critical transitions in financial time series. Our argument is based on the Log-Periodic Power Law Singularity (LPPLS)…
The rapid spread of information over social media influences quantitative trading and investments. The growing popularity of speculative trading of highly volatile assets such as cryptocurrencies and meme stocks presents a fresh challenge…
Pertaining to Agent-based Computational Economics (ACE), this work presents two models for the rise and downfall of speculative bubbles through an exchange price fixing based on double auction mechanisms. The first model is based on a…
We review the state of the art of clustering financial time series and the study of their correlations alongside other interaction networks. The aim of this review is to gather in one place the relevant material from different fields, e.g.…
We propose constructing confidence sets for the emergence, collapse, and recovery dates of a bubble separately by inverting tests for the location of the break date. We examine both likelihood ratio-type tests and the Elliott-Muller-type…
In this report we discuss and propose a correction to a convergence and stability issue occurring in the work of Da et al.[2015], in which they proposed a numerical model to simulate soap bubbles.
The bubble is a controversial and important issue. Many methods which based on the rational expectation have been proposed to detect the bubble. However, for some developing countries, epically China, the asset markets are so young that for…
The eternal inflation scenario predicts that our observable universe resides inside a single bubble embedded in a vast inflating multiverse. We present the first observational tests of eternal inflation, performing a search for cosmological…
By investigating nonfungible tokens (NFTs), we provide the first systematic study of retail investor behavior through asset bubbles. Given that NFTs are recorded in public blockchains, we are able to track investor behavior over time,…
We present a new catalogue of 5,106 infrared bubbles created through visual classification via the online citizen science website 'The Milky Way Project'. Bubbles in the new catalogue have been independently measured by at least 5…
The price-bubble and crash process formation is theoretically investigated in a two-asset equilibrium model. Sufficient and necessary conditions are derived for the existence of average equilibrium price dynamics of different agent-based…
This working paper analyzes the gold price dynamics on the basis of methodology developed by Didier Sornette. Our calculations indicate that this dynamics is close to the one of the "bubbles" studied by Sornette and that the most probable…
Amid the current financial crisis, there has been one equity index beating all others: the Shanghai Composite. Our analysis of this main Chinese equity index shows clear signatures of a bubble build up and we go on to predict its most…
In the picture of eternal inflation, our observable universe resides inside a single bubble nucleated from an inflating false vacuum. Many of the theories giving rise to eternal inflation predict that we have causal access to collisions…