Related papers: From Rational Bubbles to Crashes
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
General turbulent mean statistics are shown to be characterized by a variational principle. The variational functionals, or ``effective actions'', have experimental consequences for turbulence fluctuations and are subject to realizability…
In Randall-Sundrum type scenarios the effective size of the extra dimension remains unconstrained. A TeV-scale brane tension without orbifold boundary conditions would allow phenomenologically observable processes at high energy colliders.…
In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…
We propose an alternative inflationary universe scenario in the context of Randall-Sundrum braneworld cosmology. In this new scenario the existence of extra-dimension(s) plays an essential role. First, the brane universe is initially in the…
The 2015 Nobel Prize in Economic Sciences was awarded to Eugene Fama, Lars Peter Hansen and Robert Shiller for their contributions to the empirical analysis of asset prices. Eugene Fama [1] is an advocate of the efficient market hypothesis.…
This paper considers the setting governed by $(\mathbb{F},\tau)$, where $\mathbb{F}$ is the "public" flow of information, and $\tau$ is a random time which might not be $\mathbb{F}$-observable. This framework covers credit risk theory and…
We analyze the Rayleigh equation for the collapse of an empty bubble and provide an explanation for some recent analytical approximations to the model. We derive the form of the singularity at the second boundary point and discuss the…
In ruin theory, the net profit condition intuitively means that the incurred random claims on average do not occur more often than premiums are gained. The breach of the net profit condition causes guaranteed ruin in few but simple cases…
Some problems with the recent stimulating proposal of a ``Gauge Theory of Finance'' by Ilinski and collaborators are outlined. First, the derivation of the log-normal distribution is shown equivalent both in information and mathematical…
The big jump principle is a well established mathematical result for sums of independent and identically distributed random variables extracted from a fat tailed distribution. It states that the tail of the distribution of the sum is the…
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 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…
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…
Standard economic theory assumes that agents in markets behave rationally. However, the observation of extremely large fluctuations in the price of financial assets that are not correlated to changes in their fundamental value, as well as…
We calculate analytically the bubble nucleation rate in a model of first order inflation which is able to produce large scale structure. The computation includes the first-order departure from the thin-wall limit, the explicit derivation of…
This paper introduces a new approach for bubble detection based on mixed causal and noncausal autoregressive processes and their tail process representation during an explosive episode. Departing from traditional definitions of bubbles as…
For the prescribed scalar curvature equation on $S^n$ ($n \ge 6$), we consider the situation where the number of bubbles tends to infinity in the Lyapunov-Schmidt (finite dimension) reduction method. In an outstanding paper by Wei and Yan,…
We reconsider a classical, well-studied problem from applied probability. This is the max-sum equivalence of randomly weighted sums, and the originality is because we manage to include interdependence among the primary random variables, as…
The concept of univariate Range Value-at-Risk, presented by Cont et al. (2010), is extended in the multidimensional setting. Traditional risk measures are not well suited when dealing with heavy-tail distributions and infinite tail…