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We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenomena driven by psychological factors (for…
This paper studies the equilibrium price of a continuous time asset traded in a market with heterogeneous investors. We consider a positive mean reverting asset and two groups of investors who have different beliefs on the speed of mean…
In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between…
Bitcoin has attracted attention from different market participants due to unpredictable price patterns. Sometimes, the price has exhibited big jumps. Bitcoin prices have also had extreme, unexpected crashes. We test the predictive power of…
We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which rational investors and noise traders co-exist. Rational investors form expectations on the return and risk of a risky asset and…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
In this paper we extend the analysis of an agent-based model for adaptive trading, called asynchronous stochastic price pump (ASPP) introduced by Perepelitsa and Timofeyev (2019), to the model with heterogeneous distribution of…
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 study the formation of derivative prices in equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that the derivative cannot be shorted, we prove the existence of a…
In this paper, we study the ability to make the short-term prediction of the exchange price fluctuations towards the United States dollar for the Bitcoin market. We use the data of realized volatility collected from one of the largest…
In this paper we study the evolution of asset price bubbles driven by contagion effects spreading among investors via a random matching mechanism in a discrete-time version of the liquidity based model of [25]. To this scope, we extend the…
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…
We study the information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018. By analysing high-frequency market-microstructure observables with different information theoretic measures for dynamical…
In the past decade, Bitcoin as an emerging asset class has gained widespread public attention because of their extraordinary returns in phases of extreme price growth and their unpredictable massive crashes. We apply the log-periodic power…
This study back-tests a marginal cost of production model proposed to value the digital currency bitcoin. Results from both conventional regression and vector autoregression (VAR) models show that the marginal cost of production plays an…
Cryptocurrency markets present unique prediction challenges due to their extreme volatility, 24/7 operation, and hypersensitivity to news events, with existing approaches suffering from key information extraction and poor sideways market…
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with…
Bitcoin has emerged as a fascinating phenomenon of the financial markets. Without any central authority issuing the currency, it has been associated with controversy ever since its popularity and public interest reached high levels. Here,…
Cryptocurrencies and Bitcoin, in particular, are prone to wild swings resulting in frequent jumps in prices, making them historically popular for traders to speculate. A better understanding of these fluctuations can greatly benefit crypto…
We present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the…