Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders
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DOI: 10.1016/j.jebo.2015.02.001
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- Taisei KAIZOJI & Matthias LEISS & Alexander I. SAICHEV & Didier SORNETTE, 2015. "Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders," Swiss Finance Institute Research Paper Series 15-07, Swiss Finance Institute.
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- T. T. Chen & B. Zheng & Y. Li & X. F. Jiang, 2017. "New approaches in agent-based modeling of complex financial systems," Papers 1703.06840, arXiv.org.
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- Li Lin & Didier Sornette, 2023. "The inverse Cox-Ingersoll-Ross process for parsimonious financial price modeling," Papers 2302.11423, arXiv.org, revised Jun 2023.
- Antoine Kopp & Rebecca Westphal & Didier Sornette, 2022. "Agent-based model generating stylized facts of fixed income markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(4), pages 947-992, October.
- Aleksejus Kononovicius & Vygintas Gontis, 2019. "Approximation of the first passage time distribution for the birth-death processes," Papers 1902.00924, arXiv.org.
- Rebecca Westphal & Didier Sornette, 2019. "Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model," Swiss Finance Institute Research Paper Series 19-29, Swiss Finance Institute.
- Cafferata, Alessia & Tramontana, Fabio, 2022. "Disposition Effect and its outcome on endogenous price fluctuations," MPRA Paper 113904, University Library of Munich, Germany.
- Andreas Hefti & Steve Heinke & Frédéric Schneider, 2016. "Mental capabilities, trading styles, and asset market bubbles: theory and experiment," ECON - Working Papers 234, Department of Economics - University of Zurich.
- Rebecca Westphal & Didier Sornette, 2020. "How market intervention can prevent bubbles and crashes," Swiss Finance Institute Research Paper Series 20-74, Swiss Finance Institute.
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More about this item
Keywords
Financial bubbles; Faster-than-exponential growth; Social imitation; Momentum trading; Chartists; Dotcom bubble;All these keywords.
JEL classification:
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- G01 - Financial Economics - - General - - - Financial Crises
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
Statistics
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