arXiv research

Study on optimal bubble riding with price-dependent entry times in a mean field game model.

Model optimal liquidation in asset bubbles with varying entry times.

There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen-Ledoit-Sornette (JLS) financial bubble model. Based on a class of models that embeds the JLS model and can exhibit strict local martingale behavior, we clarify the connection between th…

Ride sharing has important implications in terms of environmental, social and individual goals by reducing carbon footprints, fostering social interactions and economizing commuter costs. The ride sharing systems that are commonly available lack adaptive and scalable techniques that can simultaneously learn from the la…

Paper tackles ride-sharing user experience enhancement with weakly supervised learning.

A new ride-hailing subsidy system uses deep causal networks to estimate consumer elasticity.

Study predicts individual treatment effects in ride-sharing competitions.

In this paper, we present machine learning approaches for characterizing and forecasting the short-term demand for on-demand ride-hailing services. We propose the spatio-temporal estimation of the demand that is a function of variable effects related to traffic, pricing and weather conditions. With respect to the metho…

We address the problem of inverse reinforcement learning in Markov decision processes where the agent is risk-sensitive. In particular, we model risk-sensitivity in a reinforcement learning framework by making use of models of human decision-making having their origins in behavioral psychology, behavioral economics, an…

Characterizes critical points in convex double and triple bubbles.

The paper tackles ride-hailing fleet repositioning with a calibrated demand approach.

Survey on soap bubble partitions and their stability.

To collectively forecast the demand for ride-sourcing services in all regions of a city, the deep learning approaches have been applied with commendable results. However, the local statistical differences throughout the geographical layout of the city make the spatial stationarity assumption of the convolution invalid,…

Bubbles are essential in certain economic models with high growth and low interest rates.

Study Yang-Mills connections on four-manifolds, derive obstructions to bubbling.

Rational bubbles form in nonstationary models of real assets.

Existence of double bubbles with high constant mean curvatures in Riemannian manifolds.

Defines speculative bubbles in discrete-time models based on discounted stock price losing mass.

Degenerate solutions found in 2D H-system bubbles with higher degrees.

This is the third installment of the Financial Bubble Experiment. Here we provide the digital fingerprint of an electronic document in which we identify 27 bubbles in 27 different global assets; for 25 of these assets, we present windows of dates of the most likely ending time of each bubble. We will provide that docum…

On 2 November 2009, the Financial Bubble Experiment was launched within the Financial Crisis Observatory (FCO) at ETH Zurich (\url{http://www.er.ethz.ch/fco/}). In that initial report, we diagnosed and announced three bubbles on three different assets. In this latest release of 23 December 2009 in this ongoing experime…

Continuous time analysis of bubble formation in harmonic maps.

Trading bubbles form when traders adapt to price mismatches.

This is the second installment of the Financial Bubble Experiment. Here we provide the digital fingerprint of an electronic document in which we identify 7 bubbles in 7 different global assets; for 4 of these assets, we present windows of dates of the most likely ending time of each bubble. We will provide that documen…

Solves the quintuple bubble problem on spheres and Euclidean spaces.

Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new methodology to test how this model classifies 9 time series that have been previously considered as bubbles ending in crashes. The …

Paper evaluates whether AI is a bubble or a productivity revolution.

Study on metric bubbles in complex dimensions 1 and 2.

Modeling stochastic arbitrage bubbles in Black-Scholes framework.

We present an advance bubble detection methodology based on the Log Periodic Power Law Singularity (LPPLS) confidence indicator for the early causal identification of positive and negative bubbles in the Chinese stock market using the daily data on the Shanghai Shenzhen CSI 300 stock market index from January 2002 thro…

Study predicts NFT bubbles using LPPL model.

Study asset price bubbles in markets with short sales prohibitions and model uncertainty.

Study reveals investor behavior in NFT bubbles.

Study of immersions with Willmore energy leading to spherical and catenoid bubbles.

The generalized soap bubble problem seeks the least perimeter way to enclose and separate n given volumes in R^m. We study the possible configurations for perimeter minimizing bubble complexes enclosing more than two regions. We prove that perimeter minimizing planar bubble complexes with equal pressure regions and wit…

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…

Example of spacetime with causal bubbling, splitting into timelike and spacelike parts.

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…

Deep neural network detects asset bubbles with improved accuracy.

The classic double bubble theorem says that the least-perimeter way to enclose and separate two prescribed volumes in $\mathbb{R}^N$ is the standard double bubble. We seek the optimal double bubble in $\mathbb{R}^N$ with density, which we assume to be strictly log-convex. For $N=1$ we show that the solution is sometime…

We explore geometric aspects of bubble convergence for harmonic maps. More precisely, we show that the formation of bubbles is characterised by the local excess of curvature on the target manifold. We give a universal estimate for curvature concentration masses at each bubble point and show that there is no curvature l…

We introduce a mathematical criterion defining the bubbles or the crashes in financial market price fluctuations by considering exponential fitting of the given data. By applying this criterion we can automatically extract the periods in which bubbles and crashes are identified. From stock market data of so-called the …

Study describes limits of non-collapsing K3 surfaces using algebraic data.

We introduce the concept of "negative bubbles" as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with a hazard rate de…

Study predicts market bubbles using machine learning and financial news sentiment.

Study on asset price dynamics in OLG economies with and without a bubbly asset.

This chapter reviews statistical tools for reinforcement learning.

There is a growing concern in recent years over the potential formation of bubbles in the Chinese real estate market. This paper aims to conduct a series of bubble diagnostic analysis over nine representative Chinese cities from two aspects. First, we investigate whether the prices had been significantly deviating from…