Bubbles and Market Crashes
adap-org
2008-02-03 v1 适应与自组织系统
摘要
We present a dynamical theory of asset price bubbles that exhibits the appearance of bubbles and their subsequent crashes. We show that when speculative trends dominate over fundamental beliefs, bubbles form, leading to the growth of asset prices away from their fundamental value. This growth makes the system increasingly susceptible to any exogenous shock, thus eventually precipitating a crash. We also present computer experiments which in their aggregate behavior confirm the predictions of the theory.
关键词
引用
@article{arxiv.adap-org/9409001,
title = {Bubbles and Market Crashes},
author = {Michael Youssefmir and Bernardo Huberman and Tad Hogg},
journal= {arXiv preprint arXiv:adap-org/9409001},
year = {2008}
}
备注
Postscript file with 21 pages. Comments to youssefm, huberman, or [email protected]