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Mathematics and Financial Economics

Erschienen in:

30.03.2016

The lifetime of a financial bubble

verfasst von: Yoshiki Obayashi, Philip Protter, Shihao Yang

Erschienen in: Mathematics and Financial Economics | Ausgabe 1/2017

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Abstract

We combine both a mathematical analysis of financial bubbles and a statistical procedure for determining when a given stock is in a bubble, with an analysis of a large data set, in order to compute the empirical distribution of the lifetime of financial bubbles. We find that it follows a generalized gamma distribution, and we provide estimates for its parameters. We also perform goodness of fit tests, and we provide a derivation, within the context of bubbles, that explains why the generalized gamma distribution might be the natural one to expect for the lifetimes of financial bubbles.

Vorheriger Artikel On the equivalence of financial structures with long-term assets

Nächster Artikel Diversification, protection of liability holders and regulatory arbitrage

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Titel: The lifetime of a financial bubble
verfasst von: Yoshiki Obayashi
Philip Protter
Shihao Yang
Publikationsdatum: 30.03.2016
Verlag: Springer Berlin Heidelberg
Erschienen in: Mathematics and Financial Economics / Ausgabe 1/2017
Print ISSN: 1862-9679
Elektronische ISSN: 1862-9660
DOI: https://doi.org/10.1007/s11579-016-0170-z

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