A mathematical framework for inefficient market bubbles


Following the understanding that asset price bubbles are generated by market failures, we present a framework for explosive semimartingales that is based on the antagonistic combination of (i) an excessive pre-crash process... [ view full abstract ]


  1. Michael Schatz (ETH Zurich)
  2. Didier Sornette (ETH Zurich)

Topic Areas

Jump-Diffusions , Risk Management , Systemic Risk


MO-P-SY » Bubbles and Macro Models (14:30 - Monday, 16th July, Synge)

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