A NONLINEAR SUPER-EXPONENTIAL RATIONAL MODEL OF SPECULATIVE FINANCIAL BUBBLES
From MaRDI portal
Publication:3368589
DOI10.1142/S0129183102003085zbMath1115.91341arXivcond-mat/0104341MaRDI QIDQ3368589
Didier Sornette, J. V. Andersen
Publication date: 31 January 2006
Published in: International Journal of Modern Physics C (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0104341
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
NONPARAMETRIC ANALYSES OF LOG-PERIODIC PRECURSORS TO FINANCIAL CRASHES, MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING AND HETEROGENEOUS AGENTS, 2000-2003 real estate bubble in the UK but not in the USA, Evidence of a worldwide stock market log-periodic anti-bubble since mid-2000, Oscillatory finite-time singularities in finance, population and rupture, ``Slimming of power-law tails by increasing market returns, Critical market crashes
Cites Work
- Bubbles and market crashes
- Time series properties of an artificial stock market
- Agent-based computational finance: Suggested readings and early research
- Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
- CRASHES AS CRITICAL POINTS
- MATHEMATICAL MODEL OF HUMAN GESTATION AND PARTURITION: IMPLICATIONS FOR EARLY DIAGNOSIS OF PREMATURITY AND POSTMATURITY
- SEARCH FOR LOG-PERIODIC OSCILLATIONS IN STOCK MARKET SIMULATIONS
- General Black-Scholes models accounting for increased market volatility from hedging strategies
- Option pricing when underlying stock returns are discontinuous
- Option pricing: A simplified approach
- Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness
