相关论文: 2000-2003 Real Estate Bubble in the UK but not in …

The international financial system is currently not yet prepared to face a foreseeable crisis mainly motivated by the dichotomy between the real economy and the virtual economy. Skepticism is widespread even when it comes to investments in…

We briefly review the well-known risks, weaknesses and limitations of spreadsheets and then introduce some more. We review and slightly extend our previous work on the importance and criticality of spreadsheets in the City of London,…

The Generalized Supremum Augmented Dickey-Fuller (GSADF) technique is performed to resolve whether the Indonesian Rupiah/US exchange rate has experienced multiple explosive bubbles. The GSADF uncovers that the Indonesian Rupiah/US exchange…

In this study, we investigate asset price bubbles in a discrete-time, discrete-state market under model uncertainty and short sales prohibitions. Building on a new fundamental theorem of asset pricing and a superhedging duality in this…

In a globalised world, inflation in a given country may be becoming less responsive to domestic economic activity, while being increasingly determined by international conditions. Consequently, understanding the international sources of…

We analyze the French housing market prices in the period 1970-2022, with high-resolution data from 2018 to 2022. The spatial correlation of the observed price field exhibits logarithmic decay characteristic of the two-dimensional random…

In an analysis of the US, the UK, and the German stock market we find a change in the behavior based on the stock's beta values. Before 2006 risky trades were concentrated on stocks in the IT and technology sector. Afterwards risky trading…

The COVID-19 recession that started in March 2020 led to an unprecedented decline in economic activity across the globe. To fight this recession, policy makers in central banks engaged in expansionary monetary policy. This paper asks…

There is an extensive historical dataset on real GDP per capita prepared by Angus Maddison. This dataset covers the period since 1870 with continuous annual estimates in developed countries. All time series for individual economies have a…

We study and generalize in various ways the model of rational expectation (RE) bubbles introduced by Blanchard and Watson in the economic literature. First, bubbles are argued to be the equivalent of Goldstone modes of the fundamental…

An information entropy statistical methodology was used to evaluate the growth of the UK economy over the period 2000 to 2019, with an emphasis on the impact of labour productivity on gross domestic product (GDP) per capita and the average…

We find a remarkable time persistence of various proxies for the kurtosis (p-kurtosis) of the intraday returns distribution for the S&P500 index and this permits a significant measure of their evolution from 1983 to 2004. There appears a…

We employed the log-periodic power law singularity (LPPLS) methodology to systematically investigate the 2020 stock market crash in the U.S. equities sectors with different levels of total market capitalizations through four major U.S.…

'Animal spirits' or confidence levels are heavily dependent on how current conditions compare to adaptation levels. In the US, with its highly flexible labor markets and weak safety nets, the unemployment rate seems to serve as a…

We study a generic model for self-referential behaviour in financial markets, where agents attempt to use some (possibly fictitious) causal correlations between a certain quantitative information and the price itself. This correlation is…

We empirically analyze the reversion of financial market trends with time horizons ranging from minutes to decades. The analysis covers equities, interest rates, currencies and commodities and combines 14 years of futures tick data, 30…

The original SCR theory proposed that inflation has two distinct expressions: circulation inflation, measured by rising transaction prices, and reservation inflation, measured by the rising real weight of monetary symbols, debt contracts,…

We present a heuristic argument for the propensity of Topological Data Analysis (TDA) to detect early warning signals of critical transitions in financial time series. Our argument is based on the Log-Periodic Power Law Singularity (LPPLS)…

Warning signs about the developing economic crisis in Greece were present in the growth rate of the Gross Domestic Product (GDP) and in the growth of the GDP well before the economic collapse. The growth rate was strongly unstable. On…

The price-bubble and crash process formation is theoretically investigated in a two-asset equilibrium model. Sufficient and necessary conditions are derived for the existence of average equilibrium price dynamics of different agent-based…