Explains the general theory of stock market bubbles, how it can be tested, and investigates whether there have been bubbles in the Norwegian stock market.

Maximum likelihood estimation techniques for multifractal processes are applied to high-frequency data in order to quantify intermittency in the fluctuations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency parameter λ...

Maximum likelihood estimation applied to high-frequency data allows us to quantify intermittency in the fluctu- ations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency parameter {\lambda} characterising the degree of...

Falling information costs may give the perverse incentive to buy less information in equilibrium. Using a model similar to Admati and Pfleiderer (1988) but with a market that clears via an equilibrium condition, it is shown that passive investment may actually rise with lower information costs....