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
收藏
页码：922 / 937
页数：16
相关论文
共 50 条
  • [31] Herd behavior, bubbles and social interactions in financial markets
    Chang, Sheng-Kai
    STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2014, 18 (01): : 89 - 101
  • [32] Quantifying reflexivity in financial markets: Toward a prediction of flash crashes
    Filimonov, Vladimir
    Sornette, Didier
    PHYSICAL REVIEW E, 2012, 85 (05):
  • [33] Financial markets and firm dynamics
    Cooley, TF
    Quadrini, V
    AMERICAN ECONOMIC REVIEW, 2001, 91 (05): : 1286 - 1310
  • [34] Information dynamics in financial markets
    de Fontnouvelle, P
    MACROECONOMIC DYNAMICS, 2000, 4 (02) : 139 - 169
  • [35] Nonlinearity in the dynamics of financial markets
    Caginalp, Gunduz
    DeSantis, Mark
    NONLINEAR ANALYSIS-REAL WORLD APPLICATIONS, 2011, 12 (02) : 1140 - 1151
  • [36] Financial markets: the dynamics of domination
    Mchugh, Hannah
    CRITICAL REVIEW OF INTERNATIONAL SOCIAL AND POLITICAL PHILOSOPHY, 2025,
  • [37] Bubbles, crashes and risk
    Branch, William A.
    Evans, George W.
    ECONOMICS LETTERS, 2013, 120 (02) : 254 - 258
  • [38] Coordinated bubbles and crashes
    Zheng, Huanhuan
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2020, 120
  • [39] Bubbles and Market Crashes
    Youssefmir M.
    Huberman B.A.
    Hogg T.
    Computational Economics, 1998, 12 (2) : 97 - 114
  • [40] A model of cycles and bubbles under heterogeneous beliefs in financial markets
    Burs, Carina
    COGENT ECONOMICS & FINANCE, 2023, 11 (02):
12345