We present a simple agent-based model to study how the proximate triggering factor of a crash or a rally might relate to its fundamental mechanism, and vice versa. Our agents form opinions and invest, based on three sources of information, (i) public information, i.e. news, (ii) information from...

``Disorder-induced volatility'' (DIV) describes the enhanced fluctuations of collective behaviors exhibited by bistable systems in the presence of a rapidly fluctuating external signal. At the DIV resonance, a defining characteristics is that the response of the system becomes uncorrelated with...

We present a simple agent-based model to study the development of a bubble and the consequential crash and investigate how their proximate triggering factor might relate to their fundamental mechanism, and vice versa. Our agents invest according to their opinion on future price movements, which...

We present a simple agent-based model to study the development of a bubble and the consequential crash and investigate how their proximate triggering factor might relate to their fundamental mechanism, and vice versa. Our agents invest according to their opinion on future price movements, which...

This paper addresses the statistical properties of time series driven by rational bubbles a la Blanchard and Watson (1982). Using insights on the behavior of multiplicative stochastic processes, we demonstrate that the tails of the unconditional distribution emerging from such bubble processes...

This paper offers a new class of models for the term structure of forward interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, but constrain the shocks so that the forward rate curve is kept continuous. We term the shocks to the forward curve...

This paper offers a new class of models for the term structure of forward interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, but constrain the shocks so that the forward rate curve is kept continuous. We term the shocks to the forward curve...