A simple model for market booms and crashes
DOI10.1007/S11579-014-0116-2zbMATH Open1307.91198OpenAlexW2046248730MaRDI QIDQ468121FDOQ468121
Authors: Umut Cetin, Ilya Sheynzon 
Publication date: 6 November 2014
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-014-0116-2
Recommendations
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Actuarial science and mathematical finance (91G99)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Approximations of boundary crossing probabilities for a Brownian motion
- Bubbles and Crashes
- Boundary crossing probability for Brownian motion
- A new integral equation for the evaluation of first-passage-time probability densities
- Point processes and queues. Martingale dynamics
- The Mathematics of Financial Derivatives
- On integral equations arising in the first-passage problem for Brownian motion
- On the two-boundary first-crossing-time problem for diffusion processes
- Boundary crossing probability for Brownian motion and general boundaries
- Title not available (Why is that?)
- Information Acquisition in Financial Markets
- Rational panics and stock market crashes.
- Bubbles and crashes: gradient dynamics in financial markets
Cited In (12)
- Title not available (Why is that?)
- Deducing the implications of jump models for the structure of stock market crashes, rallies, jump arrival rates, and extremes
- Growth cycles and market crashes
- The simplest rational greater-fool bubble model
- Estimating jump intensity and detecting jump instants in the context of \(p\) derivatives
- Equilibrium theory of stock market crashes
- Can a stochastic cusp catastrophe model explain stock market crashes?
- Stock market participation and endogenous boom-bust dynamics
- A microscopic model of the stock market: cycles, booms, and crashes
- Boom and bust phenomena in electricity market
- Detecting instants of jumps and estimating their intensity in the context of \(p\) derivatives with continuous or discrete data
- Large Bets and Stock Market Crashes
This page was built for publication: A simple model for market booms and crashes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q468121)
