A simple model for market booms and crashes

DOI10.1007/S11579-014-0116-2zbMath1307.91198OpenAlexW2046248730MaRDI QIDQ468121

Ilya Sheynzon, Umut Çetin

Publication date: 6 November 2014

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-014-0116-2

zbMATH Keywords

point processesboundary crossing probabilities for Brownian motionmarket booms and crashes

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Applications of stochastic analysis (to PDEs, etc.) (60H30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial science and mathematical finance (91G99)

Related Items (2)

Estimating jump intensity and detecting jump instants in the context of \(p\) derivatives ⋮ Detecting instants of jumps and estimating their intensity in the context of p derivatives with continuous or discrete data

Cites Work

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• Rational panics and stock market crashes.
• On integral equations arising in the first-passage problem for Brownian motion
• Bubbles and crashes: gradient dynamics in financial markets
• Boundary crossing probability for Brownian motion
• On the two-boundary first-crossing-time problem for diffusion processes
• A new integral equation for the evaluation of first-passage-time probability densities
• Boundary crossing probability for Brownian motion and general boundaries
• The Mathematics of Financial Derivatives
• Information Acquisition in Financial Markets
• Approximations of boundary crossing probabilities for a Brownian motion
• Bubbles and Crashes

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