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.
| Author of HS Reutlingen | Herzog, 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: | Journal article |
| Language: | English |
| Publication year: | 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): |  Creative Commons - Namensnennung |
