INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS

DOI10.1142/S0219024920500478zbMath1459.91191OpenAlexW2901623928MaRDI QIDQ5854314

Michael F. Schatz, Didier Sornette

Publication date: 16 March 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500478

zbMATH Keywords

financial bubblesfinancial crashesexplosive processesbubble decompositioninfinite horizon bubblesstrict local martingale approach

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (2)

A Nonuniformly Integrable Martingale Bubble with a Crash ⋮ Asset price bubbles in markets with transaction costs

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