Stochastic modelling for financial bubbles and policy
In this paper, we draw upon the close relationship between statistical physics and mathematical finance to develop a suite of models for financial bubbles and crashes. By modifying previous approaches, we are able to derive novel analytical formulae for evaluation problems and for the expected timin...
Main Author: | John Fry |
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Format: | Article |
Language: | English |
Published: |
Taylor & Francis Group
2015-12-01
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Series: | Cogent Economics & Finance |
Subjects: | |
Online Access: | http://dx.doi.org/10.1080/23322039.2014.1002152 |
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