Related papers: Financial asset bubbles in banking networks
In this paper we employ deep learning techniques to detect financial asset bubbles by using observed call option prices. The proposed algorithm is widely applicable and model-independent. We test the accuracy of our methodology in numerical…
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 opinion, which results from the combination of…
The structure of many financial networks is protected by privacy and has to be inferred from aggregate observables. Here we consider one of the most successful network reconstruction methods, producing random graphs with desired link…
In the context of containment of default contagion in financial networks, we here study a regulator that allocates pre-shock capital or liquidity buffers across banks connected by interbank liabilities and common external asset exposures.…
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,…
A linear bubble model of grain growth is introduced to study the conditions under which an isolated grain can grow to a size much larger than the surrounding matrix average (abnormal growth). We first consider the case of bubbles of two…
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g.,…
Will a new smartphone application diffuse deeply in the population or will it sink into oblivion soon? To predict this, we argue that common models of spread of innovations based on cascade dynamics or epidemics may not be fully adequate.…
Turbulent flows laden with small bubbles are ubiquitous in many natural and industrial environments. From the point of view of numerical modeling, to be able to handle a very large number of small bubbles in direct numerical simulations,…
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 synchronization process inherent to the Bitcoin network gives rise to an infinite-server model with the unusual feature that customers interact. Among the closed-form characteristics that we derive for this model is the busy period…
This thesis mainly focuses on two problems in capital structure and individual's life-cycle portfolio choice. In the first problem, we derive a stochastic control model to optimize banks' dividend and recapitalization policies and calibrate…
In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…
We seek to deepen understanding of the micro-foundations of institutionalization while contributing to a sociological theory of markets by investigating the puzzle of price bubbles in financial markets. We find that such markets, despite…
This paper develops a dynamic monetary model to study the (in)stability of the fractional reserve banking system. The model shows that the fractional reserve banking system can endanger stability in that equilibrium is more prone to exhibit…
A central challenge in financial economics is understanding how credit networks form under informational noise. We introduce the concept of topological capital, arguing that banks increasingly rely on topological certification, interpreting…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
The interaction between near-wall turbulence and wall curvature is described for the incompressible flow in a plane channel with a small concave-convex-concave bump on the bottom wall, with height comparable to the wall-normal location of…
We consider a constructive model for asset price bubbles, where the market price $W$ is endogenously determined by the trading activity on the market and the fundamental price $W^F$ is exogenously given, as in the work of Jarrow, Protter…
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally…