A simple mechanism for financial bubbles: time-varying momentum horizon

DOI10.1080/14697688.2018.1540881zbMath1420.91549OpenAlexW3121266836WikidataQ128930509 ScholiaQ128930509MaRDI QIDQ5234324

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Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/317879

zbMATH Keywords

momentumquasi-likelihoodpositive feedbackfinancial bubblestime-horizonfinite-time-singularity

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Related Items (max. 100)

INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS

Uses Software

• LBFGS-B

Cites Work

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