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In the General Theory, Keynes remarked that the economy's state depends on expectations, and that these expectations can be subject to sudden swings. In this work, we develop a multiple equilibria behavioural business cycle model that can…

We present a macro-finance model with innovation and knowledge spillover. Skilled agents engage in R&D activities (establish firms) or work in the knowledge-intensive sector. Unskilled agents work in the traditional sector. Knowledge…

We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical tool and investigate analytically its link with stocks…

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…

The log-periodic power law (LPPL) is a model of asset prices during endogenous bubbles. A major open issue is to verify the presence of LPPL in price sequences and to estimate the LPPL parameters. Estimation is complicated by the fact that…

We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices…

The Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with finite-time singular crash hazard rates has been developed to describe the dynamics of financial bubbles and crashes. It has been applied successfully to a large…

We show that public firm profit rates fell by half since 1980. Inferred as the residual from the rise of US corporate profit rates in aggregate data, private firm profit rates doubled since 1980. Public firm financial returns matched their…

We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We…

Contrary to common belief, as the time since the last earthquake in a certain region increases, the risk of occurrence of another earthquake diminishes. As a consequence, the expected waiting time to the next event increases with the…

We develop a deep learning model of multi-period mortgage risk and use it to analyze an unprecedented dataset of origination and monthly performance records for over 120 million mortgages originated across the US between 1995 and 2014. Our…

We study asset price bubbles in market models with proportional transaction costs $\lambda\in (0,1)$ and finite time horizon $T$ in the setting of [49]. By following [28], we define the fundamental value $F$ of a risky asset $S$ as the…

The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well…

A deterministic trading strategy by a representative investor on a single market asset, which generates complex and realistic returns with its first four moments similar to the empirical values of European stock indices, is used to simulate…

We study the statistics of earning forecasts of US, EU, UK and JP stocks during the period 1987-2004. We confirm, on this large data set, that financial analysts are on average over-optimistic and show a pronounced herding behavior. These…

We investigate the performance of the Kelly rule in a setting in which the dynamics of the return is represented by a time change process. We find that in this general semi-martingale setting the Kelly rule does not maximize the average…

The Financial Crisis of 2008 is a worldwide financial crisis causing a worldwide economic decline that is the most severe since the 1930s. According to the International Monetary Fund (IMF), the global financial crisis gave impact on USD…

We study the behavior of U.S. markets both before and after U.S. Federal Open Market Committee (FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the…

This paper presents a model that studies the impact of credit expansions arising from increases in collateral values or lower interest rate policies on long-run productivity and economic growth in a two-sector endogenous growth economy,…

Based on the tick-by-tick price changes of the companies from the U.S. and from the German stock markets over the period 1998-99 we reanalyse several characteristics established by the Boston Group for the U.S. market in the period 1994-95,…