Bubbles and crashes: Gradient dynamics in financial markets

被引：31

作者：

Friedman, Daniel ^{[1
]}

Abraham, Ralph ^{[2
]}

机构：

[1] Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA

[2] Univ Calif Santa Cruz, Dept Math, Santa Cruz, CA 95064 USA

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2009年 / 33卷 / 04期

关键词：

Bubbles; Escape dynamics; Time varying risk premium; Constant-gain learning; Agent-based models;

D O I：

10.1016/j.jedc.2008.10.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Fund managers respond to the payoff gradient by continuously adjusting leverage in our analytic and simulation models. The base model has a stable equilibrium with classic properties. However, bubbles and crashes occur in extended models incorporating an endogenous market risk premium based on investors' historical losses and constant-gain learning. When losses have been small for a long time, asset prices inflate as fund managers increase leverage. Then slight losses can trigger a crash, as a widening risk premium accelerates deleveraging and asset price declines. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：922 / 937

页数：16

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