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Displaying results 1 to 8 of 8.

  1. Rational belief bubbles
    Author: Sohn, Hyun-U; Sornette, Didier
    Published: 2020
    Publisher:  Swiss Finance Institute, Geneva

    We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, among an heterogenous population of agents,... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, among an heterogenous population of agents, it is possible to hold more than one "rational" expectation. When rational but diverse beliefs converge ("correlated beliefs"), they do not cancel each other out in aggregate anymore. This can make them an object of rational speculation. Accounting for the fact that market efficiency has an intrinsic time dimension, we show that diverse but correlated beliefs can thus account for speculative bubbles, without the need for irrational agents or limits to arbitrage. Many of the shortcomings of REBs that make rational bubbles implausible can be overcome once we relax the ergodicity requirement. In particular, we argue that the hitherto unexplained "bubble component" of REBs corresponds to an extension of the state space in Kurz and Motolese (2011)

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Research paper series / Swiss Finance Institute ; no 20, 05
    Swiss Finance Institute Research Paper ; No. 20-05
    Subjects: Asset pricing; Bubbles; Efficient markets; Rational expectations; Rational Beliefs; Aggregation; Heterogeneous expectations; Correlated beliefs
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  2. Deep learning for asset bubbles detection
    Author: Bashchenko, Oksana; Marchal, Alexis
    Published: 2020
    Publisher:  Swiss Finance Institute, Geneva

    We develop a methodology for detecting asset bubbles using a neural network. We rely on the theory of local martingales in continuous-time and use a deep network to estimate the diffusion coefficient of the price process more accurately than the... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We develop a methodology for detecting asset bubbles using a neural network. We rely on the theory of local martingales in continuous-time and use a deep network to estimate the diffusion coefficient of the price process more accurately than the current estimator, obtaining an improved detection of bubbles. We show the outperformance of our algorithm over the existing statistical method in a laboratory created with simulated data. We then apply the network classification to real data and build a zero net exposure trading strategy that exploits the risky arbitrage emanating from the presence of bubbles in the US equity market from 2006 to 2008. The profitability of the strategy provides an estimation of the economical magnitude of bubbles as well as support for the theoretical assumptions relied on

     
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    Source: Union catalogues
    Language: English
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    Series: Research paper series / Swiss Finance Institute ; no 20, 08
    Swiss Finance Institute Research Paper ; No. 20-08
    Subjects: Bubbles; Strict local martingales; High-frequency data; Deep learning; LSTM
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  3. Does mining fuel bubbles?
    an experimental study on cryptocurrency markets
    Author: Lambrecht, Marco; Sofianos, Andis; Xu, Yilong
    Published: September 24, 2020
    Publisher:  Universitätsbibliothek Heidelberg, Heidelberg

    Recent years have seen an emergence of decentralized cryptocurrencies that were initially devised as a payment system, but are increasingly being recognized as investment instruments.The price trajectories of cryptocurrencies have raised questions... more

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    Recent years have seen an emergence of decentralized cryptocurrencies that were initially devised as a payment system, but are increasingly being recognized as investment instruments.The price trajectories of cryptocurrencies have raised questions among economists and policy-makers, especially since such markets can have spillover effects on the real economy. We focus on two key properties of cryptocurrencies that may contribute to their pricing. In a controlledlab setting, we test whether pricing is influenced by costly mining, as well as entry barriers tothe mining technology. Our mining design resembles the proof-of-work mechanism employed by the vast majority of permissionless cryptocurrencies, such as Bitcoin. In our second condition, half of the traders have access to the mining technology, while the other half can only participate in the market. This is designed to model high concentration in cryptocurrency mining. In theabsence of mining, no bubbles or crashes occur. When costly mining is introduced, assets aretraded at prices more than 200% higher than fundamental value and the bubble peaks relativelylate in the trading periods. When only half of the traders can mine, prices surge much earlierand reach values of almost 400% higher than the fundamental value at the peak of the market. Overall, the proof-of-work mechanism seems to fuel overpricing, which is further intensified byconcentration in mining.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/235013
    Series: Discussion paper series / University of Heidelberg, Department of Economics ; no. 690
    Subjects: Bitcoin; Spekulative Blase; Virtuelle Währung; Bitcoin; Bubbles; Cryptocurrency; Financial Market Experiment
    Scope: 1 Online-Ressource (46 Seiten), Diagramme
  4. Bubbles in history
    Author: Quinn, William; Turner, John D.
    Published: September 2020
    Publisher:  Queen's University Centre for Economic History, Belfast

    Bubbles have become ubiquitous. This ubiquity has stimulated research over the past three decades into bubbles in history. In this article, we provide a systematic overview of research into historical bubbles. Our analysis reveals that there is no... more

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    Bubbles have become ubiquitous. This ubiquity has stimulated research over the past three decades into bubbles in history. In this article, we provide a systematic overview of research into historical bubbles. Our analysis reveals that there is no coherent approach to the study of bubbles and much of the debate has unhelpfully focussed on the rationality/irrationality dichotomy. We then suggest a new framework for the study of historical bubbles, which helps us understand the causes of bubbles and their economic consequences. We conclude by suggesting ways in which business history can contribute to the study of historical bubbles.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/224837
    Series: QUCEH working paper series ; 2020, 07
    Subjects: Bubbles; Business History; Speculation
    Scope: 1 Online-Ressource (circa 34 Seiten)
  5. On the non-existence of a zero-tax steady state with incomplete asset markets
    Author: Nakajima, Tomoyuki; Takahashi, Shuhei
    Published: March 2020
    Publisher:  Kyoto University, Kyoto, Japan

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: KIER discussion paper series ; no. 1025
    Subjects: Government assets; Equilibrium existence; Zero taxes; Bubbles; Incomplete markets; Heterogeneous agents
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  6. Bubbles and the value of innovation
    Author: Haddad, Valentin; Ho, Paul; Loualiche, Erik
    Published: 2020
    Publisher:  The Federal Reserve Bank of Richmond, Richmond

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    Source: Union catalogues
    Language: English
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    Series: Working paper series / The Federal Reserve Bank of Richmond ; WP 20, 08
    Subjects: Bubbles; Innovation; patents
    Scope: 1 Online-Ressource (circa 92 Seiten), Illustrationen
  7. Endogenous business cycles with bubbles
    Author: Asaoka, Shintaro
    Published: [2020]
    Publisher:  RIETI, [Tokyo, Japan]

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: RIETI discussion paper series ; 20-E, 041 (May 2020)
    Subjects: Bubbles; Endogenous growth; Business cycles
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  8. Reserve requirements and bubbles
    Author: Asaoka, Shintaro
    Published: [2020]
    Publisher:  RIETI, [Tokyo, Japan]

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    Series: RIETI discussion paper series ; 20-E, 042 (May 2020)
    Subjects: Bubbles; Reserve requirement
    Scope: 1 Online-Ressource (circa 20 Seiten), Illustrationen