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Modeling Financial Bubbles and Market Crashes

Didier Sornette

in Why Stock Markets Crash: Critical Events in Complex Financial Systems

Published in print:
2017
Published Online:
May 2018
ISBN:
9780691175959
eISBN:
9781400885091
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691175959.003.0005
Subject:
Business and Management, Finance, Accounting, and Banking

This chapter considers two versions of a rational model of speculative bubbles and stock market crashes. According to the first version, stock market prices are driven by the crash hazard that may ... More


Fundamentals of Financial Markets

Didier Sornette

in Why Stock Markets Crash: Critical Events in Complex Financial Systems

Published in print:
2017
Published Online:
May 2018
ISBN:
9780691175959
eISBN:
9781400885091
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691175959.003.0002
Subject:
Business and Management, Finance, Accounting, and Banking

This chapter discusses the fundamental characteristics and properties of stock markets and the way prices vary from one instant to the next. It first introduces the standard view about price ... More


Why Stock Markets Crash: Critical Events in Complex Financial Systems

Didier Sornette

Published in print:
2017
Published Online:
May 2018
ISBN:
9780691175959
eISBN:
9781400885091
Item type:
book
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691175959.001.0001
Subject:
Business and Management, Finance, Accounting, and Banking

The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as ... More


Asset Prices and Self-Fulfilling Macroeconomic Pessimism

Andrés Velasco and Alejandro Neut

in Money, Crises, and Transition: Essays in Honor of Guillermo A. Calvo

Published in print:
2008
Published Online:
August 2013
ISBN:
9780262182669
eISBN:
9780262282284
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262182669.003.0008
Subject:
Economics and Finance, Econometrics

This chapter demonstrates how, in a simple world with capital market imperfections (that cause borrowing to be collateralized), pessimism can lead to self-fulfilling crises. To understand the basic ... More


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