Multi-dimensional rational bubbles and fat tails

DOI10.1080/713665876zbMATH Open1405.91750OpenAlexW4301890549MaRDI QIDQ4646506FDOQ4646506

Authors: Yannick Malevergne, D. Sornette 

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/713665876

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zbMATH Keywords

rational bubblesrational pricing principle

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Cited In (9)

• Injecting rational bubbles
• Probabilistic forecasting of bubbles and flash crashes
• Title not available (Why is that?)
• Value-at-risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions
• Fat tails and bubbles in a discrete time model of an inefficient financial market
• The lifetime of a financial bubble
• Multivariate bubbles and antibubbles
• From rational bubbles to crashes
• A simple mechanism for financial bubbles: time-varying momentum horizon

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