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Year of publication
Subject
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Anlageverhalten 4 Behavioural finance 4 Bubbles 4 Börsenkurs 4 Financial crisis 4 Financial market 4 Finanzkrise 4 Finanzmarkt 4 Rational expectations 4 Rationale Erwartung 4 Share price 4 Spekulationsblase 4 Theorie 4 Theory 4 efficient crashes 4 positive feedback 4 rational expectation 4 Efficient market hypothesis 3 Effizienzmarkthypothese 3 Kelly criterion 3 Portfolio selection 3 Portfolio-Management 3 financial bubbles 3 optimal investment 3 Coronavirus 1 Covid-19 crash 1 Financial bubbles 1 Kelly 1 Speculation 1 Spekulation 1 Virtual currency 1 Virtuelle Währung 1 bitcoin 1
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Online availability
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Free 3 Undetermined 1
Type of publication
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Book / Working Paper 3 Article 1
Type of publication (narrower categories)
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Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Working Paper 3 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 4
Author
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Sornette, Didier 4 Kreuser, Jerome 3 Gerlach, Jan-Christian 1 Kreuser, Jérôme 1
Published in...
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Research paper series / Swiss Finance Institute 3 Swiss Finance Institute Research Paper 1 The European journal of finance 1
Source
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ECONIS (ZBW) 4
Showing 1 - 4 of 4
Cover Image
Crash-sensitive Kelly strategy built on a modified Kreuser-Sornette bubble model tested over three decades of twenty equity indices
Gerlach, Jan-Christian; Kreuser, Jerome; Sornette, Didier - 2020
Persistent link: https://www.econbiz.de/10012419429
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Super-exponential RE bubble model with efficient crashes
Kreuser, Jerome; Sornette, Didier - In: The European journal of finance 25 (2019) 4, pp. 338-368
Persistent link: https://www.econbiz.de/10012206978
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Cover Image
Bitcoin bubble trouble
Kreuser, Jérôme; Sornette, Didier - 2018 - Revised 18-Jun-18
We present a dynamic Rational Expectations (RE) bubble model of prices with the intention to evaluate it on optimal investment strategies applied to Bitcoin. Our bubble model is defined as a geometric Brownian motion combined with separate crash (and rally) discrete jump distributions associated...
Persistent link: https://www.econbiz.de/10011899594
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Cover Image
Super-exponential RE bubble model with efficient crashes
Kreuser, Jerome; Sornette, Didier - 2017
to efficiently bring back excess bubble prices close to a “normal” or fundamental value (“efficient crashes”). Then, the …
Persistent link: https://www.econbiz.de/10011865575
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