相关论文: From Rational Bubbles to Crashes
In this paper, we address one of the main puzzles in finance observed in the stock market by proponents of behavioral finance: the stock predictability puzzle. We offer a statistical model within the context of rational finance which can be…
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the classical autoregressive conditional duration (ACD) models by…
The von Neumann and Morgenstern theory postulates that rational choice under uncertainty is equivalent to maximization of expected utility (EU). This view is mathematically appealing and natural because of the affine structure of the space…
In a series of recent papers Barndorff-Nielsen and Shephard introduce an attractive class of continuous time stochastic volatility models for financial assets where the volatility processes are functions of positive Ornstein-Uhlenbeck(OU)…
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…
A toy calculation of string/D-particle interactions within a world-sheet approach indicates that quantum recoil effects - reflecting the gravitational back-reaction on space-time foam due to the propagation of energetic particles - induces…
Observing the relics of collisions between bubble universes would provide direct evidence for the existence of an eternally inflating Multiverse; the non-observation of such events can also provide important constraints on inflationary…
Epstein and Plesset's seminal work on the rate of gas bubble dissolution and growth in a simple liquid is generalized to render it applicable to a gas bubble embedded in a soft elastic medium. Both the underlying diffusion equation and the…
In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank account process with a constant interest rate. This…
In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…
Twenty-two significant bubbles followed by large crashes or by severe corrections in the Argentinian, Brazilian, Chilean, Mexican, Peruvian, Venezuelan, Hong-Kong, Indonesian, Korean, Malaysian, Philippine and Thai stock markets indices are…
The ubiquitous regression to the mean (RTM) effect complicates statistical inference regarding the relationship between baseline levels of a biological variable and its subsequent change. We demonstrate that common RTM correction methods…
We study strong universal Bayes-consistency in the realizable setting for learning with general metric losses, extending classical characterizations beyond $0$-$1$ classification (Bousquet et al., 2020; Hanneke et al., 2021) and real-valued…
Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their natural multivariate generalizations, we give exact formulas…
Eternal inflation is a seemingly generic consequence of theories that give rise to accelerated expansion of the universe and possess multiple vacuum states. Making predictions in an eternally inflating universe is notoriously difficult…
We develop an alternative approach to this field, which was to a large extent developed by Verbeure et al. It is meant to complement their approach, which is largely based on a non-commutative central limit theorem and coordinate space…
No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models restrict the behavior of the market price of…
This review is a partial synthesis of the book ``Why stock market crash'' (Princeton University Press, January 2003), which presents a general theory of financial crashes and of stock market instabilities that his co-workers and the author…
Material mixing induced by a Rayleigh-Taylor instability occurs ubiquitously in either nature or engineering when a light fluid pushes against a heavy fluid, accompanying with the formation and evolution of chaotic bubbles. Its general…
The Rayleigh-Taylor (RT) instability is omnipresent in the physics of inversely density-stratified fluids subject to effective gravitational acceleration. In astrophysics, a steep stratification of the ambient medium can fragment a bubble…