相关论文: From Rational Bubbles to Crashes

We propose a non linear Langevin equation as a model for stock market fluctuations and crashes. This equation is based on an identification of the different processes influencing the demand and supply, and their mathematical transcription.…

This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…

The correlated stochastic volatility models constitute a natural extension of the Black and Scholes-Merton framework: here the volatility is not a constant, but a stochastic process correlated with the price log-return one. At present,…

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…

The aim of this chapter is to explain in clear and pedagogical terms how some particle-physics models and/or mechanisms can naturally lead to inflation and how this can provide testable predictions that can help us find new physics effects.…

We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family $\mathcal{P}$ of possible physical measures. A robust notion ${\rm NA}_{1}(\mathcal{P})$ of no-arbitrage of the first…

Extreme events and the heavy tail distributions driven by them are ubiquitous in various scientific, engineering and financial research. They are typically associated with stochastic instability caused by hidden unresolved processes.…

Bumblebee models are effective field theories describing a vector field with a nonzero vacuum expectation value that spontaneously breaks Lorentz invariance. They provide an alternative way of exploring the similarities between theories…

The Slutsky equation, central in consumer choice theory, is derived from the usual hypotheses underlying most standard models in Economics, such as full rationality, homogeneity, and absence of interactions. We present a statistical physics…

In the path integral approach, one has to sum over all histories that start from the same initial condition in order to obtain the final condition as a superposition of histories. Applying this into black hole dynamics, we consider stable…

We construct an approximate scheme based on the concept of the spontaneous symmetry breakdown, satisfying the Goldstone theorem, for finite volume Bose-Einstein condensed gases in both zero and finite temperature cases. In this paper, we…

The Boltzmann entropy $S^{(B)}$ is true in the case of equal probability of all microstates of a system. In the opposite case it should be averaged over all microstates that gives rise to the Boltzmann--Shannon entropy (BSE). Maximum…

We develop a semiparametric framework for inference on the mean response in missing-data settings using a corrected posterior distribution. Our approach is tailored to Bayesian Additive Regression Trees (BART), which is a powerful…

Random matrix theory (RMT) is based on two assumptions: (1) matrix-element independence, and (2) base invariance. Most of the proposed generalizations keep the first assumption and violate the second. Recently, several authors presented…

Inspired by the question of identifying the start time $\tau$ of financial bubbles, we address the calibration of time series in which the inception of the latest regime of interest is unknown. By taking into account the tendency of a given…

Calculations are presented to describe the dynamic of a growing bubble in a single and simple formulation for R(t). The calculations show clearly that the behavior of the growing bubble is exponentially increasing with the time constant…

In financial markets, the information that traders have about an asset is reflected in its price. The arrival of new information then leads to price changes. The `information-based framework' of Brody, Hughston and Macrina (BHM) isolates…

We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, and that the banks in the core hold a bubbly asset. The banks in the periphery have not…

We propose a new class of inflationary solutions to the standard cosmological problems (horizon, flatness, monopole,...), based on a modification of old inflation. These models do not require a potential which satisfies the normal…

We introduce a new class of (dynamical) systems that inherently capture cascading effects (viewed as consequential effects) and are naturally amenable to combinations. We develop an axiomatic general theory around those systems, and guide…