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 …
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48 results for “bubbling process”
Deep neural network detects asset bubbles with improved accuracy.
problem Detecting asset bubbles in financial markets.
method Developed a deep learning neural network to estimate diffusion coefficient of price processes.
result Improved detection of asset bubbles compared to existing methods.
The paper uses deep learning to detect asset price bubbles in tech stocks.
problem Detecting financial asset price bubbles using deep learning.
method Deep learning techniques applied to call option prices for financial asset bubbles detection.
result The proposed deep learning algorithm provides a theoretical foundation for positive and continuous stochastic asset price processes.
Modeling financial bubbles and crashes with a cubic momentum function.
problem Capturing the micro-level dynamics of investor behavior and panic selling.
method Introducing a cubic function of market momentum to model trend-following and sudden crashes.
result The model successfully replicates complex, nonlinear bubble dynamics.
On Rational Bubbles and Fat Tailscond-mat.stat-mech
This paper addresses the statistical properties of time series driven by rational bubbles a la Blanchard and Watson (1982), corresponding to multiplicative maps, whose study has recently be revived recently in physics as a mechanism of intermittent dynamics generating power law distributions. Using insights on the beha…
Investigates price dynamics of two assets with and without bubbles, deriving conditions for equilibrium prices.
problem Understanding price dynamics and bubbles in multi-asset markets.
method Derives sufficient and necessary conditions for average equilibrium price dynamics in a two-asset model.
result Assets with positive average dividends display hump-shaped bubbles, while those with constant fundamental values show misvaluation effects.
Study predicts market bubbles using machine learning and financial news sentiment.
problem Predicting market bubbles in the S&P 500 index.
method Three-step approach combining financial news sentiment and macroeconomic indicators.
result Proposed three-step ensemble approach significantly improves bubble prediction accuracy.
The paper models cryptocurrency market bubbles using agent-based models.
problem Understanding speculative bubbles in cryptocurrency markets.
method Agent-based models and ODE models to estimate return rates and market values.
result Formulated formula for total system risk.
We seek to deepen understanding of the micro-foundations of institutionalization while contributing to a sociological theory of markets by investigating the puzzle of price bubbles in financial markets. We find that such markets, despite textbook conditions of high efficiency -- perfect information, atomistic agents, n…
We propose two rational expectation models of transient financial bubbles with heterogeneous arbitrageurs and positive feedbacks leading to self-reinforcing transient stochastic faster-than-exponential price dynamics. As a result of the nonlinear feedbacks, the termination of a bubble is found to be characterized by a …
In this paper, we study the weak compactness of the set of conformal metrics in any Riemann surface without boundary whose Calabi energy and area are uniformly bounded. We prove that for any sequence of such metrics, there alwasy exists a subsequence which converges in H\sp{2,2}_\sb{loc} everywhere except a finite numb…
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…
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors' beliefs and sentiments. The conditional expected returns exhibit faster-than-exp…
Evidence of Fueling of the 2000 New Economy Bubble by Foreign Capital Inflow: Implications for the Future of the US Economy and its Stock Marketcond-mat.stat-mech
Previous analyses of a large ensemble of stock markets have demonstrated that a log-periodic power law (LPPL) behavior of the prices constitutes a qualifying signature of speculative bubbles that often land with a crash. We detect such a LPPL signature in the foreign capital inflow during the bubble on the US markets c…
Log-Periodic Oscillation Analysis and Possible Burst of the "Gold Bubble" in April - June 2011q-fin.ST
This working paper analyzes the gold price dynamics on the basis of methodology developed by Didier Sornette. Our calculations indicate that this dynamics is close to the one of the "bubbles" studied by Sornette and that the most probable timing of the "burst of the gold bubble" is April - June 2011. The obtained resul…
New financial price model using earning yield derived from CIR process.
problem Excess volatility and equity premium puzzles in financial markets.
method Proposes a new financial price process based on earning yield and Cox-Ingersoll-Ross (CIR) process.
result Derives analytically stylized facts of financial prices and returns, including power law distribution of returns and fat-tailed distribution of prices.
Study uses multidimensional SE-NBD process to analyze default portfolios and identify shock amplification.
problem Analyzing interactions and shock propagation in default portfolios with multiple sectors.
method Applied multidimensional self-exciting negative binomial distribution (SE-NBD) process to 13 sectors.
result Identified upstream and downstream sectors, showing shock amplification in default portfolios.
Characterizes critical points in convex double and triple bubbles.
problem Critical points of double and triple bubbles in convex shapes.
method Characterization through stationary varifolds in and .
result Characterization of critical points in convex shapes.
Study on prescribing positive curvature with conical singularities on a sphere.
problem Prescribing positive curvature with conical singularities on a sphere.
method Fine analysis of bubble trees and an area identity in the convergence process.
result Criterion for nonexistence in an open region of the prescribing data.
Study of critical points in Ginzburg-Landau approximation with stability results.
problem Stability of critical points in Ginzburg-Landau approximation.
method Application of previous joint method with T. Rivière for upper semi-continuity of extended Morse index.
result Upper semi-continuity of extended Morse index for sequences of critical points.
Model explains stock price bubbles through debt crises and financial crashes.
problem Analyzing financial fragility and stock price bubbles.
method Stock-flow consistent model integrating macroeconomic and financial market dynamics.
result Model demonstrates how credit expansion and crash risk lead to recurrent boom-bust cycles.
Leverage Bubbleq-fin.GN
Leverage is strongly related to liquidity in a market and lack of liquidity is considered a cause and/or consequence of the recent financial crisis. A repurchase agreement is a financial instrument where a security is sold simultaneously with an agreement to buy it back at a later date. Repurchase agreements (repos) ma…
Noise, risk premium, and bubbleq-fin.GN
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…
Survey on soap bubble partitions and their stability.
problem Characterizing and stabilizing soap bubble partitions.
method Survey and analysis of recent research.
result Recent advancements in multi-bubble isoperimetric minimizers and stability.
Bubble Necessity Theoremecon.TH
Bubbles are essential in certain economic models with high growth and low interest rates.
problem Asset price bubbles exceeding fundamental values.
method Developed the Bubble Necessity Theorem in economic models with specific growth and interest rate conditions.
result Bubbles are inevitable in certain economic scenarios with high growth and low interest rates.
Regulation Simulationq-fin.GN
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 the effects of financial regulation that either pricks bubbles, props up crashe…
Study Yang-Mills connections on four-manifolds, derive obstructions to bubbling.
problem Bubbling configurations in Yang-Mills fields on four-manifolds.
method Derived Pohozaev type compatibility between weak limit connection and bubbles, involving Weyl tensor.
result Obstructions to certain bubbling configurations on CP2.
Rational bubbles form in nonstationary models of real assets.
problem Understanding the emergence of rational bubbles in real assets.
method Developed economic models showing bubbles inevitably emerge in nonstationary systems.
result Bubbles in real assets are inevitable and can be analyzed using mathematical theorems.
Existence of double bubbles with high constant mean curvatures in Riemannian manifolds.
problem Existence of double bubbles with high constant mean curvatures in Riemannian manifolds.
method Perturbations of geodesic standard double bubbles centered at critical points of the ambient scalar curvature and aligned along eigen-vectors of the ambient Ricci tensor, with general multiplicity results via Lusternik-Schnirelman theory.
result Existence of double bubbles with high constant mean curvatures in Riemannian manifolds.
A comparison among some Hurst exponent approaches to predict nascent bubbles in company stocksq-fin.ST
In this paper, three approaches to calculate the self-similarity exponent of a time series are compared in order to determine which one performs best to identify the transition from random efficient market behavior (EM) to herding behavior (HB) and hence, to find out the beginning of a market bubble. In particular, cla…
The paper studies projections of asset prices under equivalent martingale measures.
problem Understanding the impact of information on asset price bubbles and arbitrage opportunities.
method Analyzes optional projections of local martingales into a smaller filtration under equivalent martingale measures.
result Provides general results and specific examples like inverse Bessel process and stochastic volatility models.
We present some geometric applications, of global character, of the bubbling analysis developed by Buzano and Sharp for closed minimal surfaces, obtaining smooth multiplicity one convergence results under upper bounds on the Morse index and suitable lower bounds on either the genus or the area. For instance, we show th…
Defines speculative bubbles in discrete-time models based on discounted stock price losing mass.
problem Characterizing speculative bubbles in discrete-time models.
method Introduces a new definition based on discounted stock price behavior and provides probabilistic characterizations.
result Speculative bubbles in discrete time are linked to solutions of a linear Volterra integral equation.
Degenerate solutions found in 2D H-system bubbles with higher degrees.
problem Existence of degenerate solutions in H-system bubbles with degree ≥ 3.
method Algebraic characterization of degenerate bubbles.
result Degenerate solutions can exist for H-system bubbles with degree ≥ 3.
This paper aims to provide a simple modelling of speculative bubbles and derive some quantitative properties of its dynamical evolution. Starting from a description of individual speculative behaviours, we build and study a second order Markov process, which after simple transformations can be viewed as a turning two-d…
Statistical analysis of financial data most focused on testing the validity of Brownian motion (Bm). Analysis performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many financial derivatives. We inquiry in the behavior of measures of performance based on …
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.
problem Understanding bubble formation in harmonic map heat flow.
method Continuous time approach to analyze bubbling sequences.
result Solutions approach multi-bubble configurations in continuous time.
Trading bubbles form when traders adapt to price mismatches.
problem Self-sustained price bubbles driven by adaptive trading behavior.
method Multi-agent model illustrating price bubble formation and statistical properties.
result Price bubbles can be driven by adaptive investment strategies.
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.
problem Minimizing total perimeter of multiple bubbles enclosing fixed volumes.
method Developed spectral theory of Jacobi operator and new bubble deformation method.
result Confirmed quintuple bubble conjecture on spheres and Euclidean spaces.
Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisisq-fin.RM
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led and is continuing to lead to massive losses and damage for billions of people. H…
Fearless versus Fearful Speculative Financial Bubblescond-mat.stat-mech
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.
problem Determining if AI investments are a bubble or a sustainable technology.
method Hybrid review and diagnostic framework combining asset pricing foundations and modern econometric methods.
result AI investments show both genuine fundamentals and bubble-like fragilities.
The paper revisits classical competition theory to explain speculative asset price dynamics.
problem Understanding the dynamics of speculative asset prices and their volatility.
method Specialized classical model of competition with reservation prices, incorporating speculation.
result The model explains excess, fat-tailed, and clustered volatility in speculative asset prices.
Study on metric bubbles in complex dimensions 1 and 2.
problem Understanding degenerations of Kähler-Einstein metrics.
method Investigation of metric bubble trees for non-collapsing cases.
result Description of a conjectural higher-dimensional picture.
Modeling stochastic arbitrage bubbles in Black-Scholes framework.
problem Analyzing arbitrage bubbles in financial markets.
method Developed a generalized Black-Scholes equation with stochastic arbitrage bubbles.
result The Black-Scholes model is a low-energy limit of a stochastic model.