相关论文: From Rational Bubbles to Crashes

We prove the emergence of stable fluctuations for reaction-diffusion in random environment with Weibull tails. This completes our work around the quenched to annealed transition phenomenon in this context of reaction diffusion. In [9], we…

This paper deals with optimally-robust parameter estimation in generalized Pareto distributions (GPDs). These arise naturally in many situations where one is interested in the behavior of extreme events as motivated by the…

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…

Accurately assessing financial risk requires capturing both individual asset volatility and the complex, asymmetric dependence structures that emerge during extreme market events. While modern diffusion-based models have advanced…

I recently proposed the "reheating-volume" (RV) prescription as a possible solution to the measure problem in "multiverse" cosmology. The goal of this work is to extend the RV measure to scenarios involving bubble nucleation, such as the…

We adapt the Goldstone theorem to study spontaneous symmetry breaking in relativistic theo- ries at finite charge density. It is customary to treat systems at finite density via non-relativistic Hamiltonians. Here we highlight the…

We propose a straightforward extension of our previously proposed log-periodic power law model of the ``anti-bubble'' regime of the USA market since the summer of 2000, in terms of the renormalization group framework to model critical…

We study the closure properties of the class of Bivariate Regular Variation, symbolically BRV , in standard and nonstandard cases, with respect to the randomly weighted sums. However, we take into consideration a weak dependence structure…

This paper develops a comprehensive theoretical framework that imports concepts from stochastic thermodynamics to model price impact and characterize the feasibility of round-trip arbitrage in financial markets. A trading cycle is treated…

We study how experience with asset price bubbles changes the trading strategies of reinforcement learning (RL) traders and ask whether the change in trading strategies helps to prevent future bubbles. We train the RL traders in a…

Volatility, as a primary indicator of financial risk, forms the foundation of classical frameworks such as Markowitz's Portfolio Theory and the Efficient Market Hypothesis (EMH). However, its conventional use rests on assumptions-most…

The nonuniqueness of rational expectations is explained: in the stochastic, discrete-time, linear, constant-coefficients case, the associated free parameters are coefficients that determine the public's most immediate reactions to shocks.…

Recurrence Plot (RP) and Recurrence Quantification Analysis RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a…

We develop a stochastic macro-financial model in continuous time by integrating two specifications of the Keen economic framework with a financial market driven by a jump-diffusion process. The economic block of the model combines monetary…

Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable. In this article we study when this hurdle can be overcome…

Financial markets are well known for their dramatic dynamics and consequences that affect much of the world's population. Consequently, much research has aimed at understanding, identifying and forecasting crashes and rebounds in financial…

We present a general equilibrium macro-finance model with a positive feedback loop between capital investment and land price. As leverage is relaxed beyond a critical value, through the financial accelerator, a phase transition occurs from…

We investigate a suspension bridge model described by a nonlinear plate equation incorporating internal fractional damping and infinite memory effects. The system also includes a nonlinear source term that may induce instability. Using…

In a recent comment (Johansen A 2003 An alternative view, Quant. Finance 3: C6-C7, cond-mat/0302141), Anders Johansen has criticized our methodology and has questioned several of our results published in [Sornette D and Zhou W-X 2002 The US…

The pioneering work of Brezis-Merle [7], Li-Shafrir [27], Li [26] and Bartolucci-Tarantello [4] showed that any sequence of blow up solutions for (singular) mean field equations of Liouville type must exhibit a "mass concentration"…