Detecting asset price bubbles using deep learning
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Cites work
- A liquidity-based model for asset price bubbles
- A mathematical theory of financial bubbles
- A note on options and bubbles under the CEV model: implications for pricing and hedging
- A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations
- Analysis of continuous strict local martingales via \(h\)-transforms
- Asset price bubbles in incomplete markets
- Bubbles and Crashes
- Complications with stochastic volatility models
- Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
- DNN expression rate analysis of high-dimensional PDEs: application to option pricing
- Dupire's equation for bubbles
- Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
- Foreign currency bubbles
- Forward and futures prices with bubbles
- How to detect an asset bubble
- scientific article; zbMATH DE number 6445233 (Why is no real title available?)
- Implied volatility in strict local martingale models
- Liquidity induced asset bubbles via flows of ELMMs
- Local martingales, bubbles and option prices
- On the Possibility of Speculation under Rational Expectations
- Rational equilibrium asset-pricing bubbles in continuous trading models
- Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems
- Shifting martingale measures and the birth of a bubble as a submartingale
- Simulation of the CEV process and the local martingale property
- Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
- Strict local martingales and bubbles
- Strong bubbles and strict local martingales
- The Formation of Financial Bubbles in Defaultable Markets
- Universal approximation bounds for superpositions of a sigmoidal function
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