A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Investigates price dynamics of two assets with and without bubbles, deriving conditions for equilibrium prices.
Study asset price bubbles in markets with short sales prohibitions and model uncertainty.
The paper uses deep learning to detect asset price bubbles in tech stocks.
We study asset price bubbles in market models with proportional transaction costs and finite time horizon in the setting of [49]. By following [28], we define the fundamental value of a risky asset as the price of a super-replicating portfolio for a position terminating in one unit of the asset…
Study on asset price dynamics in OLG economies with and without a bubbly asset.
Model shows how relaxed leverage can lead to asset price bubbles.
Study shows price bubbles can exist even with heterogeneous beliefs.
Study reveals investor behavior in NFT bubbles.
The supplement proves the existence and properties of a dynamical system related to asset price bubbles.
Study asset price bubbles using random matching and stochastic factors.
Bubbles are essential in certain economic models with high growth and low interest rates.
The bubble is a controversial and important issue. Many methods which based on the rational expectation have been proposed to detect the bubble. However, for some developing countries, epically China, the asset markets are so young that for many companies, there are no dividends and fundamental value, making it difficu…
We propose a reduced form set of two coupled continuous time equations linking the price of a representative asset and the price of a bond, the later quantifying the cost of borrowing. The feedbacks between asset prices and bonds are mediated by the dependence of their "fundamental values" on past asset prices and bond…
Rational bubbles form in nonstationary models of real assets.
Study predicts NFT bubbles using LPPL model.
We introduce a new diffusion process Xt to describe asset prices within an economic bubble cycle. The main feature of the process, which differs from existing models, is the drift term where a mean-reversion is taken based on an exponential decay of the scaled price. Our study shows the scaling factor on Xt is crucial …
We consider a constructive model for asset price bubbles, where the market price is endogenously determined by the trading activity on the market and the fundamental price is exogenously given, as in the work of Jarrow, Protter and Roch (2012). To justify from a fundamental point of view, we embed this …
The paper studies projections of asset prices under equivalent martingale measures.
The paper revisits classical competition theory to explain speculative asset price dynamics.
Paper evaluates whether AI is a bubble or a productivity revolution.
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes and effects. This review and essay evaluates some of the hypotheses offered to …
The log-periodic power law (LPPL) is a model of asset prices during endogenous bubbles. If the on-going development of a bubble is suspected, asset prices can be fit numerically to the LPPL law. The best solutions can then indicate whether a bubble is in progress and, if so, the bubble critical time (i.e., when the bub…
We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale theory of asset price bubbles and the fact that such scenarios where the price for a…
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenomena driven by psychological factors (for example, popularity of rock groups, or a number of students pursuing a given majo…
Identifying unambiguously the presence of a bubble in an asset price remains an unsolved problem in standard econometric and financial economic approaches. A large part of the problem is that the fundamental value of an asset is, in general, not directly observable and it is poorly constrained to calculate. Further, it…
Study on optimal bubble riding with price-dependent entry times in a mean field game model.
We develop a methodology for detecting asset bubbles using a neural network. We rely on the theory of local martingales in continuous-time and use a deep network to estimate the diffusion coefficient of the price process more accurately than the current estimator, obtaining an improved detection of bubbles. We show the…
Study shows XRP price correlates with transaction network metrics.
This paper develops a dynamic equilibrium model where agents exhibit a strong form of belief heterogeneity: they disagree about zero probability events. It is shown that, somewhat surprisingly, equilibrium exists in this setting, and that the disagreement about nullsets naturally leads to equilibrium asset pricing bubb…
Efficiently prices American options with multiple assets using sparse grids.
TDA detects financial bubbles through early warning signals.
Agent-based model simulates speculative electronic market with price bubbles.
Two-cycle GEILA equilibria are OLG equilibria and vice versa, with applications to indeterminacy and bubbles.
We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which rational investors and noise traders co-exist. Rational investors form expectations on the return and risk of a risky asset and maximize their constant relative risk aversion expected utility with respect to thei…
In the past decade, Bitcoin as an emerging asset class has gained widespread public attention because of their extraordinary returns in phases of extreme price growth and their unpredictable massive crashes. We apply the log-periodic power law singularity (LPPLS) confidence indicator as a diagnostic tool for identifyin…
Model explains stock price bubbles through debt crises and financial crashes.
We introduce the Speculative Influence Network (SIN) to decipher the causal relationships between sectors (and/or firms) during financial bubbles. The SIN is constructed in two steps. First, we develop a Hidden Markov Model (HMM) of regime-switching between a normal market phase represented by a geometric Brownian moti…
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 log-periodic power law (LPPL) model has been developed as a flexible tool to detec…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage property. We show that prices are coherent if and only if the set of pricing measure…
Model optimal liquidation in asset bubbles with varying entry times.
We define a financial bubble as a period of unsustainable growth, when the price of an asset increases ever more quickly, in a series of accelerating phases of corrections and rebounds. More technically, during a bubble phase, the price follows a faster-than-exponential power law growth process, often accompanied by lo…
New framework improves option pricing models by addressing volatility dynamics.
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 daily LPPL returns are typically orders of magnitude smaller than measured price…
We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease with the size of their position, as it would be the case for risk-averse agents. In the equilibrium models of heterogeneous beliefs that fo…
Modeling stochastic arbitrage bubbles in Black-Scholes framework.
This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an informational efficient one (similar to Campbell and Kyle (1993)), and another one …
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 rational pricing equation, associated with the symmetry-breaking introduced by non-va…
The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerning the value of the random variable X that can be interpreted as the timing of future cash demand, and an independent no…