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Multivariate bubbles and antibubbles

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  • John Fry

Abstract

In this paper we develop models for multivariate financial bubbles and antibubbles based on statistical physics. In particular, we extend a rich set of univariate models to higher dimensions. Changes in market regime can be explicitly shown to represent a phase transition from random to deterministic behaviour in prices. Moreover, our multivariate models are able to capture some of the contagious effects that occur during such episodes. We are able to show that declining lending quality helped fuel a bubble in the US stock market prior to 2008. Further, our approach offers interesting insights into the spatial development of UK house prices. Copyright EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg 2014

Suggested Citation

  • John Fry, 2014. "Multivariate bubbles and antibubbles," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 87(8), pages 1-7, August.
    • Handle: RePEc:spr:eurphb:v:87:y:2014:i:8:p:1-7:10.1140/epjb/e2014-50324-9
    DOI: 10.1140/epjb/e2014-50324-9
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    References listed on IDEAS

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    1. Nicolas Carnot & Vincent Koen & Bruno Tissot, 2011. "Economic Forecasting and Policy," Palgrave Macmillan Books, Palgrave Macmillan, edition 0, number 978-0-230-30644-8.
    2. AfDB AfDB, . "Africa’s Voice and Financier," African Development Fund Series, African Development Bank, number 12 edited by Jihene Aissaoui.
    3. Bouchaud,Jean-Philippe & Potters,Marc, 2003. "Theory of Financial Risk and Derivative Pricing," Cambridge Books, Cambridge University Press, number 9780521819169.
    4. Yannick Malevergne & Didier Sornette, 2006. "Extreme Financial Risks : From Dependence to Risk Management," Post-Print hal-02298069, HAL.
    5. Oecd, 2012. "Carbon finance in Africa," OECD Journal: General Papers, OECD Publishing, vol. 2010(4), pages 143-162.
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    1. Cheah, Eng-Tuck & Fry, John, 2015. "Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin," Economics Letters, Elsevier, vol. 130(C), pages 32-36.
    2. Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2016. "Everything you always wanted to know about bitcoin modelling but were afraid to ask. I," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 44, pages 5-24.
    3. Mark Mizraki, 2015. "Conversation with Mark Mizruchi:“There is Very Little Organizational Theory Left in Sociology Departments”," Journal of Economic Sociology, National Research University Higher School of Economics, vol. 16(3), pages 14-25.
    4. Fry, John & Cheah, Eng-Tuck, 2016. "Negative bubbles and shocks in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 343-352.
    5. Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2017. "Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 45, pages 5-28.

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    More about this item

    Keywords

    Statistical and Nonlinear Physics;

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G0 - Financial Economics - - General
    • G01 - Financial Economics - - General - - - Financial Crises

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