相关论文: From Rational Bubbles to Crashes

Growth of the single-fluid single-mode Rayleigh-Taylor instability (RTI) is revisited in 2D and 3D using fully compressible high-resolution simulations. We conduct a systematic analysis of the effects of perturbation Reynolds number…

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 entrain gas beneath the surface. The wave-breaking process energizes turbulent fluctuations that break bubbles in quick succession to generate a wide range of bubble sizes. Understanding this generation mechanism paves the…

A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…

Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…

We present a number of related comparison results, which allow to compare moment explosion times, moment generating functions and critical moments between rough and non-rough Heston models of stochastic volatility. All results are based on…

In this paper we revisited the classical problem of max-sum equivalence of randomly weighted sums in two dimensions. In opposite to the most papers in literature, we consider that there exists some interdependence between the primary random…

It has been recently demonstrated, [3], that according to the principle of release of constraints, absence of shear stresses in the Euler equations must be compensated by additional degrees of freedom, and that led to a Reynolds-type…

The equity risk premium puzzle is that the return on equities has far exceeded the average return on short-term risk-free debt and cannot be explained by conventional representative-agent consumption based equilibrium models. We review a…

A model of inflation is proposed in which compact extra dimensions allow a graceful exit without recourse to flat potentials or super-Planckian field values. Though bubbles of true vacuum are too sparse to uniformly reheat the Universe by…

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…

We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…

The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such…

A simple spin model is studied, motivated by the dynamics of traders in a market where expectation bubbles and crashes occur. The dynamics is governed by interactions which are frustrated across different scales: While ferromagnetic…

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…

This paper proposes methods to investigate whether the bubble patterns observed in individual series are common to various series. We detect the non-linear dynamics using the recent mixed causal and noncausal models. Both a likelihood ratio…

We propose a new class of financial volatility models, called the REcurrent Conditional Heteroskedastic (RECH) models, to improve both in-sample analysis and out-ofsample forecasting of the traditional conditional heteroskedastic models. In…

A spontaneously broken global discrete symmetry may have pseudo Goldstone modes associated with the spontaneous breaking of the approximate continuous symmetry of the low dimension terms in the Lagrangian. These provide natural candidates…

We present a plausible micro-founded model for the previously postulated power law finite time singular form of the crash hazard rate in the Johansen-Ledoit-Sornette model of rational expectation bubbles. The model is based on a percolation…

We calculate bubble nucleation rates in a Lennard-Jones fluid through explicit molecular dynamics simulations. Our approach -- based on a recent free energy method (dubbed reweighted Jarzynski sampling), transition state theory, and a…