A Mathematical Theory of Financial Bubbles

被引：66

作者：

Protter, Philip ^{[1
]}

机构：

[1] Columbia Univ, Dept Stat, New York, NY 10027 USA

来源：

PARIS-PRINCETON LECTURES ON MATHEMATICAL FINANCE 2013 | 2013年 / 2081卷

基金：

美国国家科学基金会;

关键词：

STOCHASTIC DIFFERENTIAL-EQUATIONS; STRICT LOCAL MARTINGALES; ASSET PRICING THEORY; DIFFUSION-COEFFICIENT; VOLATILITY MODELS; MICROSTRUCTURE NOISE; SPECULATIVE BUBBLES; FUNDAMENTAL THEOREM; LIQUIDITY RISK; STOCK RETURNS;

D O I：

10.1007/978-3-319-00413-6_1

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Over the last 10 years or so a mathematical theory of bubbles has emerged, in the spirit of a martingale theory based on an absence of arbitrage, as opposed to an equilibrium theory. This paper attempts to explain the major developments of the theory as it currently stands, including equities, options, forwards and futures, and foreign exchange. It also presents the recent development of a theory of bubble detection. Critiques of the theory are presented, and a defense is offered. Alternative theories, especially for bubble detection, are sketched.

引用

页码：1 / 108

页数：108

共 162 条

[1] HIGH FREQUENCY MARKET MICROSTRUCTURE NOISE ESTIMATES AND LIQUIDITY MEASURES [J].