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Super-exponential bubbles in lab experiments : evidence for anchoring over-optimistic expectations on price
Huesler, Andreas D.; Sornette, Didier; Hommes, Cars H. - 2012
We analyze a controlled price formation experiment in the laboratory that shows evidence for bubbles. We calibrate two … models that demonstrate with high statistical significance that these laboratory bubbles have a tendency to grow faster than …
Persistent link: https://www.econbiz.de/10009560804
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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...
Persistent link: https://www.econbiz.de/10003394353
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Super-exponential growth expectations and the global financial crisis
Leiss, Matthias; Nax, Heinrich H.; Sornette, Didier - 2014
We construct risk-neutral return probability distributions from S&P 500 options data over the decade 2003 to 2013, separable into pre-crisis, crisis and post-crisis regimes. The pre-crisis period is characterized by increasing realized and, especially, option-implied returns. This translates...
Persistent link: https://www.econbiz.de/10010443041
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Response speeds of direct and securitized real estate to shocks in the fundamentals
Oikarinen, Elias; Hoesli, Martin; Serrano, Camilo - 2010
We use sector level REIT and transaction-based direct real estate data for the U.S. to provide a clearer understanding of the dynamic relations between public and private real estate returns. We exclude leverage from REIT returns to make the REIT data more comparable with the direct market data....
Persistent link: https://www.econbiz.de/10008797757
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A consistent model of "explosive" financial bubbles with mean-reversing residuals
Lin, Li; Ren, Ruoen; Sornette, Didier - 2009
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process … correctly identifies the bubbles ending in Oct. 1987, in Oct. 1997, in Aug. 1998 and the ITC bubble ending on the first quarter … diagnostic for the duration of bubbles: applied to the period before Oct. 1987 crash, there is clear evidence that the bubble …
Persistent link: https://www.econbiz.de/10003970340
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Can we use volatility to diagnose financial bubbles? : lessons from 40 historical bubbles
Sornette, Didier; Cauwels, Peter; Smilyanov, Georgi - 2017
We inspect the price volatility before, during, and after financial asset bubbles in order to uncover possible … volatility increase before a crash, but we do not see this as a consistent behavior. We examine forty well-known bubbles and … studied bubbles, the crash follows a period of lower volatility, reminiscent of the idiom of a “lull before the storm”. This …
Persistent link: https://www.econbiz.de/10011762277
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Betting against beta
Frazzini, Andrea; Pedersen, Lasse Heje - 2012
"We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin...
Persistent link: https://www.econbiz.de/10009558371
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - 2013
Across numerous asset classes, momentum strategies have historically generated high Sharpe ratios and strong positive alphas relative to standard asset pricing models. However, the returns to momentum strategies are negatively skewed: they experience infrequent but strong and persistent strings...
Persistent link: https://www.econbiz.de/10010257503
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Scaling laws and statistical properties of the transaction flows and holding times of bitcoin
Sornette, Didier; Zhang, Yu - 2024
Persistent link: https://www.econbiz.de/10014483276
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On the lease rate, the convenience yield and speculative effects in the gold futures market
Barone-Adesi, Giovanni; Geman, Hélyette; Theal, John - 2009
By examining data on the gold forward offered rate (GOFO) and lease rates over the period 1996- 2009, we conclude that the convenience yield of gold is better approximated by the lease rate than the interest-adjusted spread of Fama amp; French (1983). Using the latter quantity, we study the...
Persistent link: https://www.econbiz.de/10003967104