Artikel
Stochastic modelling for financial bubbles and policy
In this paper, we draw upon the close relationship between statistical physics and mathematical finance to develop a suite of models for financial bubbles and crashes. By modifying previous approaches, we are able to derive novel analytical formulae for evaluation problems and for the expected timing of future change points. In particular, we help to explain why previous approaches have systematically overstated the timing of changes in market regime. The list of potential empirical applications is deep and wide ranging, and includes contemporary housing bubbles, the Eurozone crisis and the Crash of 2008.
- Language
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Englisch
- Bibliographic citation
-
Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 3 ; Year: 2015 ; Issue: 1 ; Pages: 1-14 ; Abingdon: Taylor & Francis
- Classification
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Wirtschaft
- Subject
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econophysics
bubbles
crashes
expected crash-time
- Event
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Geistige Schöpfung
- (who)
-
Fry, John
- Event
-
Veröffentlichung
- (who)
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Taylor & Francis
- (where)
-
Abingdon
- (when)
-
2015
- DOI
-
doi:10.1080/23322039.2014.1002152
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Fry, John
- Taylor & Francis
Time of origin
- 2015
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