相关论文: The Financial Bubble Experiment: Advanced Diagnost…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
We document and analyze the empirical facts concerning one of the clearest evidence of speculation in financial trading as observed in the postage collection stamp market. We unravel some of the mechanisms of speculative behavior which…
Financial markets provide a natural quantitative lab for understanding some of the most advanced human behaviours. Among them is the use of mathematical tools known as financial instruments. Besides money, the two most fundamental financial…
The non-fungible token (NFT) is an emergent type of cryptocurrency that has garnered extensive attention since its inception. The uniqueness, indivisibility and humanistic value of NFTs are the key characteristics that distinguish them from…
In this study the cross-correlations between the cryptocurrency market represented by the two most liquid and highest-capitalized cryptocurrencies: bitcoin and ethereum, on the one side, and the instruments representing the traditional…
This paper aims at solving FX market volatility modeling problem and finding the most becoming approach to this task. Validity of two competing approaches, classical econometric generalized conditional heteroscedasticity and mathematical…
We show that power-law analyses of financial commentaries from newspaper web-sites can be used to identify stock market bubbles, supplementing traditional volatility analyses. Using a four-year corpus of 17,713 online, finance-related…
This article provides a self-contained overview of the theory of rational asset price bubbles. We cover topics from basic definitions, properties, and classical results to frontier research, with an emphasis on bubbles attached to real…
In this paper, we extend Beta distribution to 2 by 2 matrix and give the analytical formula for its moments. Our analytical formula can be used to analyze the asymptotic behavior of Beta distribution for 2 by 2 matrix.
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
Recently research on bubble and its burst attract much interest of researchers in various field such as economics and physics. Economists have been regarding bubble as a disorder in prices. However, this research strategy has overlooked an…
We introduce a new diffusion process Xt to describe asset prices within an economic bubble cycle. The main feature of the process, which differs from existing models, is the drift term where a mean-reversion is taken based on an exponential…
What is the role of social interactions in the creation of price bubbles? Answering this question requires obtaining collective behavioural traces generated by the activity of a large number of actors. Digital currencies offer a unique…
Establishing unambiguously the existence of speculative bubbles is an on-going controversy complicated by the need of defining a model of fundamental prices. Here, we present a novel empirical method which bypasses all the difficulties of…
This paper is the third in a series investigating the possibility that if we reside in an inflationary "bubble universe", we might observe the effects of collisions with other such bubbles. Here, we study the interior structure of a bubble…
In this study, we perform a novel analysis of the 2015 financial bubble in the Chinese stock market by calibrating the Log Periodic Power Law Singularity (LPPLS) model to two important Chinese stock indices, SSEC and SZSC, from early 2014…
We develop a strong diagnostic for bubbles and crashes in bitcoin, by analyzing the coincidence (and its absence) of fundamental and technical indicators. Using a generalized Metcalfe's law based on network properties, a fundamental value…
The relationship between period doubling bifurcations and Feigenbaum's constants has been studied for nearly 40 years and this relationship has helped uncover many fundamental aspects of universal scaling across multiple nonlinear dynamical…
This paper introduces a new framework to quantify distance between finite sets with uncertainty present, where probability distributions determine the locations of individual elements. Combining this with a Bayesian change point detection…
The pinch-off of an axisymmetric air bubble surrounded by an inviscid fluid is compared in four physical realizations: (i) cavity collapse in the wake of an impacting disc, (ii) gas bubbles injected through a small orifice, (iii) bubble…