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Diagnosis and Prediction of Market Rebounds in Financial Markets
negative bubble rebound positive feedback pattern recognition trading strategy error diagram prediction Bayesian methods financial markets price forecasting
2010/4/27
We introduce the concept of "negative bubbles" as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these n...
Diagnosis and Prediction of Tipping Points in Financial Markets: Crashes and Rebounds
financial bubble crash negative bubble rebound
2010/10/18
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bi...
This paper presents a dynamic equilibrium model of bond markets in which two groups
of agents hold heterogeneous expectations about future economic conditions. The heterogeneous expectations cause ag...
Distressed Sales and Financial Arbitrageurs: Front-running in Illiquid Markets
Distressed Sales Financial Arbitrageurs Illiquid Markets
2010/7/2
We investigate the impact of an arbitrageur’s activities in an illiquid market, where there is a large distressed trader and a fringe of small traders. Large traders trade strategically considering pr...