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An econophysics model of financial bubbles

  • Usually financial crises go along with bubbles in asset prices, such as the housing bubble in the US in 2007. This paper attempts to build a mathematical model of financial bubbles from an econophysics, and thus a new perspective. I find that agents identify bubbles only with a time delay. Furthermore, I demonstrate that the detection of bubbles is different on either the individual or collective point of view. Second, I utilize the findings for a new definition of asset bubbles in finance. Finally, I extend the model to the study of asset price dynamics with news. In conclusion, the model provides unique insights into the properties and developments of financial bubbles.

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Metadaten
Author of HS ReutlingenHerzog, Bodo
URN:urn:nbn:de:bsz:rt2-opus4-4856
DOI:https://doi.org/10.4236/ns.2015.71006
Erschienen in:Natural science
Publisher:Scientific research publishing
Place of publication:Irvine, California
Document Type:Article
Language:English
Year of Publication:2015
Tag:econophysics; financial bubbles; financial crises; wave equation
Volume:7
Page Number:9
First Page:55
Last Page:63
DDC classes:500 Naturwissenschaften und Mathematik
Open Access?:Ja
Licence (German):License Logo  Creative Commons - Namensnennung