Bubbles and Contagion in Financial Markets, Volume 2

Models and Mathematics

verfasst von: Dr. Eva R. Porras

Verlag: Palgrave Macmillan UK

Enthalten in: Springer Professional "Wirtschaft+Technik" , Springer Professional "Wirtschaft"

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Über dieses Buch

This book focuses on extending the models and theories (from a mathematical/statistical point of view) which were introduced in the first volume to a more technical level. Where volume I provided an introduction to the mathematics of bubbles and contagion, volume II digs far more deeply and widely into the modeling aspects.

Inhaltsverzeichnis

Frontmatter

Chapter 1. Asset Price Dynamics and Stochastic Processes

Abstract

When talking about financial assets in the context of bubbles we must make a fine distinction between the price and the value of a security.

Eva R. Porras

Chapter 2. Stylized Facts of Financial Markets and Bubbles

Abstract

A casual examination of the financial press reveals the tendency to explain market movements on the bases of “events”. That is, price movements are often rationalized on some economic or political innovation.

Eva R. Porras

Chapter 3. Introduction to Contagion and Bubbles

Abstract

Some aspects of “contagion” key to the analysis of bubble formation, transmission, and implosion relate to social learning processes in which market agents observe the actions of others and ignore their own information to follow on the witnessed choices.

Eva R. Porras

Chapter 4. Rational Social Learning

Abstract

In financial markets, private information specific to some individuals cannot be observed directly by others.Therefore, considering that the prices of financial assets and investment decisions result from the aggregate accumulation of information related to the value of holding these assets, informational asymmetries derive in multiple equilibria and affect the patterns of behavior of market traders.

Eva R. Porras

Chapter 5. Bubbles

Abstract

The “Thomas Theorem” summarizes in that situations people define as true, become true for those who believe on them as actions are affected by the subjective perceptions of situations.

Eva R. Porras

Chapter 6. Fundamental Versus Contagion Variables to Explain Returns

Abstract

As illustrated throughout our previous pages, there is a general consensus that expected returns are notoriously difficult to predict for many reasons, including modeling and econometric problems.

Eva R. Porras

Backmatter

Titel: Bubbles and Contagion in Financial Markets, Volume 2
verfasst von: Dr. Eva R. Porras
Verlag: Palgrave Macmillan UK
Electronic ISBN: 978-1-137-52442-3
Print ISBN: 978-1-137-52441-6
DOI: https://doi.org/10.1057/978-1-137-52442-3