搜索结果: 1-6 共查到“理论经济学 crashes”相关记录6条 . 查询时间(0.045 秒)
Crashes and Collateralized Lending
Financial Crisis Borrowing and Debt Cost of Capital Credit Financing and Loans Interest Rates
2015/4/23
This paper develops a parsimonious static model for characterizing financing terms in collateralized lending markets. We characterize the systematic risk exposures for a variety of securities and deve...
Market efficiency, anticipation and the formation of bubbles-crashes
renormalization group sociophysics opinion dynamic finance
2011/7/5
A dynamical model is introduced for the formation of a bullish or
bearish trends driving an asset price in a given market. Initially, each
agent decides to buy or sell according to its personal opin...
Fitting the Log Periodic Power Law to financial crashes: a critical analysis
Log Periodic Power Law financial crashes critical analysis
2010/10/18
A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or 'crashes', contain parameters that are confined within certain rang...
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...
The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
The log-periodic-AR(1)-GARCH(1,1) model financial crashes
2010/12/13
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to investigate...
Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Crashes Trading volume Skewness
2014/3/18
We develop a series of cross-sectional regression specifications to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experien...