Related papers: From Rational Bubbles to Crashes
We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More…
We report on the statistics of bubble size, topology, and shape and on their role in the coarsening dynamics for foams consisting of bubbles compressed between two parallel plates. The design of the sample cell permits control of the liquid…
Cavitation and bubble dynamics are central concepts in engineering, the natural sciences, and the mathematics of fluid mechanics. Due to the nonlinear nature of their dynamics, the governing equations are not fully solvable. Here, the…
We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and…
We explore the possibility that inflation is driven by supersymmetry breaking with the superpartner of the goldstino (sgoldstino) playing the role of the inflaton. Moreover, we impose an R-symmetry that allows to satisfy easily the…
This paper quantifies the interplay between the non-arbitrage notion of No-Unbounded-Profit-with-Bounded-Risk (NUPBR hereafter) and additional information generated by a random time. This study complements the one of…
In the presence of model risk, it is well-established to replace classical expected values by worst-case expectations over all models within a fixed radius from a given reference model. This is the "robustness" approach. We show that…
In this article we formulate new models for coupled systems of bulk-surface reaction-diffusion equations on stationary volumes. The bulk reaction-diffusion equations are coupled to the surface reaction-diffusion equations through linear…
General equilibrium equations in economics play the same role with many-body Newtonian equations in physics. Accordingly, each solution of the general equilibrium equations can be regarded as a possible microstate of the economic system.…
The problem related to predicting dynamic volatility in financial market plays a crucial role in many contexts. We build a new generalized Barndorff-Nielsen and Shephard (BN-S) model suitable for uncertain environment with fuzziness and…
Conditional extreme value models have been introduced by Heffernan and Resnick (2007) to describe the asymptotic behavior of a random vector as one specific component becomes extreme. Obviously, this class of models is related to classical…
The evolution of spherically symmetric unstable scalar field configurations (``bubbles'') is examined for both symmetric (SDWP) and asymmetric (ADWP) double-well potentials. Bubbles with initial static energies $E_0\la E_{{\rm crit}}$,…
In this work we develop on the recently suggested concept of superstatistics [C. Beck and E.G.D. Cohen, Physica A {\bf 322}, 267 (2003)], face the problem of devising a viable way for estimating the correct statistics for a system in…
In [1] we presented a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we were able to redefine concepts like account balance, yield…
We construct a stochastic dynamical systems theory in which sustainability is a structural boundary property of a fully coupled Earth--Human--Production system. Each subsystem is modelled as a vector-valued process governed by stochastic…
Random multiplicative growth with redistribution generates stationary Pareto wealth tails in the Bouchaud-M\'ezard model, but assumes a fixed multiplicative noise intensity. This is restrictive for physical and financial growth processes,…
We show that infinite divisibility of a trading commodity leads to a self-sustained price bubble when traders use adaptive investment strategies. The adaptive strategy can be viewed as a psychological response of a trader to the situation…
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset Pricing and a Superhedging Theorem,…
The goal of this investigation was to overcome limitations of a persistency analysis, introduced by Benoit Mandelbrot for fractal Brownian processes: nondifferentiability, Brownian nature of process and a linear memory measure. We have…
In this study, we explore the thermodynamic aspects of a modified version of Rastall's gravity theory and its implications for cosmological scenarios. We analyze the role of non-conserved energy-momentum tensor equations and investigate…