We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which fundamentalist and chartist traders co-exist. Fundamentalists form expectations on the return and risk of a risky asset and maximize their constant relative risk aversion expected utility...

We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The main tool of our theory is the parsimonious encoding of all the information contained in the OHLC prices for a given time interval by the joint distributions of the high-minusopen,...

Many natural and social systems are characterized by bursty dynamics, for which past events trigger future activity. These systems can be modelled by so-called self-excited Hawkes conditional Poisson processes. It is generally assumed that all events have similar triggering abilities. However,...

We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge, corresponding to given log-price stochastic process,...

Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes and effects. This review and essay evaluates some of...

Comparative statistical properties of Parkinson, Garman-Klass, Roger-Satchell and bridge oscillation estimators are discussed. Point and interval estimations, related with mentioned estimators are considered

We investigate properties of the volatility estimator, which is proportional to the square of oscillations of the bridge formed by the logarithm of the incremental price of a financial instrument at a specified time interval. In the framework of the geometric Brownian motion model for price...

In recent years a large number of models of financial markets based on interacting heterogeneous agents have been developed. These models generally allow the size of the different groups of agents to vary according to the evolution of the financial market. Adaptive belief system proposed by...

The aim of this paper is to demonstrate that dynamic paths in a model of discrete choice with social interactions, which have been developed by Brock and Durlauf (1999, 2001a, 2001b, 2006), converge some self-consistent equilibrium. To this aim, we propose an asynchronous model of...