Study detects endogenous bubbles in meme stocks using CI.
problem Detecting endogenous bubbles in meme stocks.
method Used Log-Periodic Power Law (LPPL) Confidence Indicator (CI).
result CI detected numerous bubbles in meme stocks but struggled with predicting exogenous rallies.
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.
This paper highlights the role of risk neutral investors in generating endogenous bubbles in derivatives markets. We find that a market for derivatives, which has all the features of a perfect market except completeness and has some risk neutral investors, can exhibit extreme price movements which represent a violation…
We perform an extended analysis of the distribution of drawdowns in the two leading exchange markets (US dollar against the Deutsmark and against the Yen), in the major world stock markets, in the U.S. and Japanese bond market and in the gold market, by introducing the concept of ``coarse-grained drawdowns,'' which all…
Model shows how relaxed leverage can lead to asset price bubbles.
problem Understanding how financial leverage affects asset prices and growth.
method Developed a macro-finance model with feedback loops between investment and land prices.
result Relaxed leverage can cause unbalanced growth and asset price bubbles.
The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of traders' strategies. Furthermore, we show that the distributions of returns gene…
We consider a constructive model for asset price bubbles, where the market price W is endogenously determined by the trading activity on the market and the fundamental price WF is exogenously given, as in the work of Jarrow, Protter and Roch (2012). To justify WF from a fundamental point of view, we embed this …
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the bulk of drawdown price movement distribution. This paper goes on dee…
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.
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.
Study reveals 2020 stock crashes were mostly endogenous, not exogenous.
problem Identifying the cause of the 2020 global stock market crash.
method Applied log-periodic power law singularity (LPPLS) methodology to analyze stock market indexes.
result The 2020 stock market crashes were mostly endogenous, driven by systemic instability.
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 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…
Study confirms financial bubbles' common patterns in isolated markets.
problem Testing universal dynamics of financial bubbles in isolated markets.
method Log-Periodic Power Law Singularity (LPPLS) model analysis of two major bubble episodes.
result Tehran Stock Exchange shows clear LPPLS hallmarks, supporting bubble universality.
Study reveals the 2020 U.S. stock crash was endogenous, not caused by COVID.
problem Understanding the cause of the 2020 U.S. stock market crash.
method Applied log-periodic power law singularity (LPPLS) methodology to analyze four major U.S. stock market indexes.
result The 2020 U.S. stock market crash was endogenous, stemming from systemic instability, not COVID.
Model optimal liquidation in asset bubbles with varying entry times.
problem Optimal liquidation in asset bubbles with variable entry times and exogenous crashes.
method Mean field game (MFG) with varying entry times and progressive enlargement of filtrations.
result Existence of MFG equilibria and decomposition of equilibrium strategies.
Inspired by the question of identifying the start time τ of financial bubbles, we address the calibration of time series in which the inception of the latest regime of interest is unknown. By taking into account the tendency of a given model to overfit data, we introduce the Lagrange regularisation of the normalised …
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…
Study analyzes stock market dynamics using Tsallis statistics and GHE, revealing pre-bubble and post-bubble market characteristics.
problem Understanding stock market dynamics and predicting market bubbles.
method Non-linear analysis using time-dependent Tsallis statistics and Generalized Hurst Exponents.
result Temporal trends of q-triplet values differ before and after market bubbles, indicating significant market dynamics changes.
New method identifies precursors of financial crises in market correlation structures.
problem Predicting long-term financial crises in non-Markovian, non-stationary markets.
method Identifying quasi-stationary market states and their precursor properties.
result Certain features of market states show potential as indicators of financial crises.
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of their portfolios.The stock price is set according to the demand-supply for the …
LLMs in financial markets show diverse behaviors, from stable to speculative, challenging rational expectations.
problem Understanding the economic behaviors of LLMs in financial markets.
method Simulated financial market with 15 LLMs of varying sizes and capabilities.
result LLMs exhibit a spectrum of behaviors, including speculative bubbles, inconsistent with rational expectations.
Imitative and contrarian behaviors are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock market where agents can take only two states, bullish or bearish. Each bullish (bearish) agent polls m "friends'' and changes her opinion to bear…
New visual tool detects financial market changes using multiscaling analysis.
problem Detecting relevant changes in financial time series.
method Time-dependent Generalized Hurst Exponents (GHE) and Change-Point Analysis.
result Identifies patterns distinguishing between uniscaling and multiscaling, and provides warning signals.
The paper tackles reinforcement learning with exogenous variables and rewards.
problem Exogenous state variables and rewards slow reinforcement learning by introducing uncontrolled variation.
method Formalizes exogenous state variables and rewards, decomposes MDP into exogenous and endogenous components, and introduces algorithms to discover these components.
result Optimal policies for the endogenous MDP are also optimal for the original MDP, but the endogenous MDP is easier to solve due to reduced variance.
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 Rn and R3. result Characterization of critical points in convex shapes.
Existence of incomplete Radner equilibrium with endogenous noise tracker.
problem Existence of incomplete Radner equilibrium in a model with endogenous noise tracker.
method Proved existence through a coupled system of ODEs, reduced to two coupled ODEs.
result Endogenous noise tracker leads to higher aggregate welfare for large stock supply.
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.
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.
Transformers can handle endogeneity in linear regression using IV methods.
problem Endogeneity in in-context linear regression models.
method Transformer architecture with gradient-based bi-level optimization and in-context pretraining.
result Transformers provide more robust predictions and estimates than 2SLS in endogenous scenarios.
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.
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.
Easy conditions found for simplifying complex systems.
problem Linearizing complex two-input systems.
method Endogenous dynamic feedback with a dimension of at most two.
result Necessary and sufficient conditions for linearizability.
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…
New findings allow infinite mean intensity Hawkes processes to be stable.
problem Stability condition for Hawkes processes with infinite mean intensity.
method Analysis of Quadratic Hawkes processes with infinite mean intensity.
result Quadratic Hawkes processes are always stationary with infinite mean intensity when total endogeneity ratio exceeds unity.
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…
Funds inflate their returns due to price pressure, leading to wealth reallocation and market crashes.
problem Funds inflate their returns due to price pressure, leading to wealth reallocation and market crashes.
method Decomposed fund returns into price pressure and fundamental components, and identified the impact of price chasing on fund flows.
result Funds' self-inflated returns lead to wealth reallocation and market crashes, and can be predicted by fund illiquidity.
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.
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.
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous, we envision either fluctuations resulting from an underlying chaotic dynamics or from a stochastic forcing origin which ma…
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.