Related papers: A simple model for asset price bubble formation an…
This paper proposes methods to investigate whether the bubble patterns observed in individual series are common to various series. We detect the non-linear dynamics using the recent mixed causal and noncausal models. Both a likelihood ratio…
When a bubble of air rises to the top of a highly viscous liquid, it forms a dome-shaped protuberance on the free surface. Unlike a soap bubble, it bursts so slowly as to collapse under its own weight simultaneously, and folds into a…
The aim of this chapter is to explain in clear and pedagogical terms how some particle-physics models and/or mechanisms can naturally lead to inflation and how this can provide testable predictions that can help us find new physics effects.…
The interaction of multiple bubbles is a complex physical problem. A simplified case of multiple bubbles is studied theoretically with a bubble located at the center of a circular bubble cluster. All bubbles in the cluster are equally…
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each…
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,…
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 short-term market stabilization. This paper…
In retrospect, the experimental findings on competitive market behavior called for a revival of the old, classical, view of competition as a collective higgling and bargaining process (as opposed to price-taking behaviors) founded on…
In social networks, bursts of activity often result from the imitative behavior between interacting agents. The Ising model, along with its variants in the social sciences, serves as a foundational framework to explain these phenomena…
We introduce the concept of "negative bubbles" as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the…
A deterministic trading strategy by a representative investor on a single market asset, which generates complex and realistic returns with its first four moments similar to the empirical values of European stock indices, is used to simulate…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
The dynamics of rapidly collapsing bubbles are of great interest due to the high degree of energy focusing that occurs withing the bubble. Molecular dynamics provides a way to model the interior of the bubble and couple the gas dynamics…
We develop a stochastic macro-financial model in continuous time by integrating two specifications of the Keen economic framework with a financial market driven by a jump-diffusion process. The economic block of the model combines monetary…
Identifying unambiguously the presence of a bubble in an asset price remains an unsolved problem in standard econometric and financial economic approaches. A large part of the problem is that the fundamental value of an asset is, in…
This work uncovers the low-dimensional nature the complex dynamics of actuated separated flows. Namely, motivated by the problem of model-based predictive control of separated flows, we identify the requirements on a model-based observer…
Imitative and contrarian behaviors are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock market where agents can take only two states, bullish or bearish.…
The collapse of a vapor bubble near a flat solid boundary results in the formation of a jet that is directed towards the boundary. In more complex geometries such as corners, predictions of the collapse cannot be made in a straightforward…