A liquidity-based model for asset price bubbles
DOI10.1080/14697688.2011.620976zbMATH Open1279.91160OpenAlexW3124677603MaRDI QIDQ2873554FDOQ2873554
Authors: Alexandre Roch, Robert A. Jarrow, Philip Protter 
Publication date: 24 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2011.620976
Recommendations
incomplete marketsbubblescontinuous-time modelslimit order booksliquidity modelinganomalies in prices
Macroeconomic theory (monetary models, models of taxation) (91B64) Actuarial science and mathematical finance (91G99)
Cites Work
- The fundamental theorem of asset pricing for unbounded stochastic processes
- Liquidity risk and arbitrage pricing theory
- Bubbles, convexity and the Black-Scholes equation
- Martingales and stochastic integrals in the theory of continuous trading
- Continuous Auctions and Insider Trading
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Order book approach to price impact
- Local martingales, bubbles and option prices
- Asset price bubbles in incomplete markets
- Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
- Rational equilibrium asset-pricing bubbles in continuous trading models
- Analysis of continuous strict local martingales via \(h\)-transforms
- An analysis of the supply curve for liquidity risk through book data
- Liquidity risk, price impacts and the replication problem
Cited In (19)
- Bubbles and Crashes
- Financial asset price bubbles under model uncertainty
- Liquidity Suppliers and High Frequency Trading
- Liquidity risk and the term structure of interest rates
- Liquidity Induced Asset Bubbles via Flows of ELMMs
- Financial Asset Bubbles in Banking Networks
- Asset bubbles and efficiency in a generalized two-sector model
- Liquidity Based Modeling of Asset Price Bubbles via Random Matching
- The Formation of Financial Bubbles in Defaultable Markets
- Modeling the liquidity effect with the limited participation model: a skeptical view
- The impact of quantitative easing on the US term structure of interest rates
- A limit order book model for latency arbitrage
- Rational equilibrium asset-pricing bubbles in continuous trading models
- Asset price bubbles, wealth preserving, dominating, and replicating trading strategies
- A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory
- Detecting asset price bubbles using deep learning
- Asset price bubbles in markets with transaction costs
- Semilattices, canonical embeddings and representing measures
- A Mathematical Theory of Financial Bubbles
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