A liquidity-based model for asset price bubbles
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Publication:2873554
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Cites work
- An analysis of the supply curve for liquidity risk through book data
- Analysis of continuous strict local martingales via \(h\)-transforms
- Asset price bubbles in incomplete markets
- Bubbles, convexity and the Black-Scholes equation
- Continuous Auctions and Insider Trading
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Liquidity risk and arbitrage pricing theory
- Liquidity risk, price impacts and the replication problem
- Local martingales, bubbles and option prices
- Martingales and stochastic integrals in the theory of continuous trading
- Order book approach to price impact
- Rational equilibrium asset-pricing bubbles in continuous trading models
- Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
- The fundamental theorem of asset pricing for unbounded stochastic processes
Cited in
(25)- Modeling the liquidity effect with the limited participation model: a skeptical view
- Imperfect knowledge, liquidity and bubbles
- Liquidity Based Modeling of Asset Price Bubbles via Random Matching
- Asset price bubbles, market liquidity, and systemic risk
- Bubbles and Crashes
- The Formation of Financial Bubbles in Defaultable Markets
- Financial asset price bubbles under model uncertainty
- Asset price bubbles, wealth preserving, dominating, and replicating trading strategies
- A leverage-based model of speculative bubbles
- Financial asset bubbles in banking networks
- Prediction of asset price bubbles based on log-periodic power-law singularity model
- A mathematical theory of financial bubbles
- A limit order book model for latency arbitrage
- Asset price bubbles in markets with transaction costs
- Rational equilibrium asset-pricing bubbles in continuous trading models
- Liquidity induced asset bubbles via flows of ELMMs
- A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory
- Liquidity risk and the term structure of interest rates
- Asset bubbles and efficiency in a generalized two-sector model
- Conditions for bubbles to arise under heterogeneous beliefs
- Liquidity suppliers and high frequency trading
- The impact of quantitative easing on the US term structure of interest rates
- Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
- Detecting asset price bubbles using deep learning
- A study on asset price bubble dynamics: explosive trend or quadratic variation?
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