相关论文: The Financial Bubble Experiment: Advanced Diagnost…

The most studies on the stability of foam bubbles investigated the mechanical stability of thin films between bubbles due to the drainage by gravity. In the current work, we take an alternative approach by assuming the rupture of bubbles as…

We construct a financial "Turing test" to determine whether human subjects can differentiate between actual vs. randomized financial returns. The experiment consists of an online video-game (http://arora.ccs.neu.edu) where players are…

Economic periods and financial crises have highlighted the importance of evaluating financial markets to investors and researchers in recent decades.

By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bifurcations and phase transitions, the…

We give a summary of the current state of Local Bubble research, resulting from the discussions of a dedicated panel meeting. After more than 25 years of intense observational and theoretical work, we are still far from a coherent picture,…

Second order perturbation solutions of profiles of bubbles suspended in liquid and liquid gas interfaces when liquid all sinks in the bottom under different accelerations are derived. Six procedures are developed based on these solutions,…

Speculative bubbles exhibit common statistical signatures across many financial markets, suggesting the presence of universal underlying mechanisms. We test this hypothesis in the Iranian stock market, an economy that is highly isolated,…

In this paper, three approaches to calculate the self-similarity exponent of a time series are compared in order to determine which one performs best to identify the transition from random efficient market behavior (EM) to herding behavior…

Cosmic bubble collisions provide an important possible observational window on the dynamics of eternal inflation. In eternal inflation, our observable universe is contained in one of many bubbles formed from an inflating metastable vacuum.…

Society's drive toward ever faster socio-technical systems, means that there is an urgent need to understand the threat from 'black swan' extreme events that might emerge. On 6 May 2010, it took just five minutes for a spontaneous mix of…

This review discusses methods of testing for explosive bubbles in time series. A large number of recently developed testing methods under various assumptions about innovation of errors are covered. The review also considers the methods for…

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…

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…

We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale…

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…

Atoms and molecules are important conceptual entities we invented to understand the physical world around us. The key to their usefulness lies in the organization of nuclear and electronic degrees of freedom into a single dynamical variable…

This paper aims to provide a simple modelling of speculative bubbles and derive some quantitative properties of its dynamical evolution. Starting from a description of individual speculative behaviours, we build and study a second order…

We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper (2006). These risk measures take into account not only the amounts but also the…

Breaking waves generate a distribution of bubble sizes that evolves over time. Knowledge of how this distribution evolves is of practical importance for maritime and climate studies. The analytical framework developed in Part 1 examined how…

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…