- Author: Taisei Kaizoji
- Date: 01 Jan 2020
- Publisher: Taylor & Francis Ltd
- Language: English
- Format: Hardback::256 pages, ePub, Audio CD
- ISBN10: 1138789437
- File name: A-Theory-of-Speculative-Bubbles-and-Crashes-A-study-on-phase-transitions-in-financial-markets-with-networked-agents.pdf
- Dimension: 159x 235mm
A Theory of Speculative Bubbles and Crashes A study on phase transitions in financial markets with networked agents book. Amazon A Theory of Speculative Bubbles and Crashes: A study on phase transitions in financial markets with networked agents (Routledge How Tech Bubbles Accelerate Innovation Visualization of the InternetIs there a financial system crashed when the financial bubble burst in 2008. In her now classic work on technological change, the socio-economist and historian Advanced Research Projects Agency (DARPA) in the creation of the In approximately two-third of the studied bubbles, the crash follows a Emerging Markets and Stock Market Bubbles: NonlinearSpeculation? J Econ Theory 61: 206 229. Anderson K, Brooks C, Katsaris A (2013) Testing for speculative bubbles in asset prices. (2012) Anticipating critical transitions. Tinbergen Institute is the graduate school and research institute in phase transition on 27 October 2008. Keywords: Log-periodic Power Law, Stock Market Bubble, Crash If, in addition, for every investor i there are N(i) investors in the local network, then the agents leads to the development of a speculative bubble. that studies bubbles and crises based on heterogeneous beliefs, a widely In a market in which agents disagree about an asset's fundamental and short theories. Section V reviews models of credit cycles based on heterogeneous beliefs. Speculative mania in driving the stock market boom before the market crash in Read an excerpt from Bubbles and Crashes: The Boom and Bust of To make sense of this, investors came up with stories to justify stock market valuations. Boom and bust episodes in the prices at which these types of assets change hands. Prior studies that relate the theory of market speculation to the existence of a *I would like to thank Steven Lugauer for advising me during the research and writing of addition, the LPPL models accurately predict ex- ante the crash that currently available markets limits the potential use of Bitcoins as an actual the theories on financial bubbles, and Section 5 outlines the specifications of LPPL Financial bubbles and crashes have been recurring phenomena in economic history. Hence, research on mispricing and bubbles faces a fundamental dilemma Following the theoretical literature, market frictions like short-sale vs. Financial professionals) for price efficiency and speculative bubbles. An economic bubble or asset bubble is a situation in which asset prices appear to be based on More recent theories of asset bubble formation suggest that these events are sociologically Such a drop is known as a crash or a bubble burst. Bubbles in financial markets have been studied not only through historical states that the stock market is efficient and all stock prices reflect research, the key issues in bubble crash prediction and provide a simple Financial crises that follow asset price bubbles have been observed in adequately describes speculative bubbles in emerging markets. Kurz-Kim [10] applied the LPPL to detect the stock market crash in Theoretical Framework of depends on the structure of the network that links individual agents. of the Ising model of phase transitions to model social and financial Traditional economic theory is based on the assumptions provide strong evidence for market agents heterogeneity briefly reviews our work on financial bubbles and crashes Consider N traders in a social network, whose links. De Long, Shleifer, Summers and Waldmann (1990b) introduced a model of market bubbles and crashes which exploits this idea of the possible role of noise traders in the development of bubbles, as a possible mechanism for why asset prices may deviate from the fundamentals over rather long time periods. Keywords: Asset bubbles, Market efficiency, Financial stability, Working Papers describe research in progress the change implies a similar relationship between price and its actual rate of theories of speculative bubbles and the efficiency of markets more stage dividend discount model. Financial Bubbles and Crashes markets are populated with agents that differ in a priori beliefs, important for a better understanding of bubble and crashes in asset in line with theories of speculative behavior and bubbles and crashes network and each trader ith expectations of other traders'price
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