The lifetime of a financial bubble

Yoshiki Obayashi1, Philip Protter2, Shihao Yang3
1Applied Academics LLC, New York, USA
2Statistics Department, Columbia University, New York, USA
3Statistics Department, Harvard University, Cambridge, USA

Tóm tắt

We combine both a mathematical analysis of financial bubbles and a statistical procedure for determining when a given stock is in a bubble, with an analysis of a large data set, in order to compute the empirical distribution of the lifetime of financial bubbles. We find that it follows a generalized gamma distribution, and we provide estimates for its parameters. We also perform goodness of fit tests, and we provide a derivation, within the context of bubbles, that explains why the generalized gamma distribution might be the natural one to expect for the lifetimes of financial bubbles.

Từ khóa


Tài liệu tham khảo

Agarwal, S., Al-Saleh, J.: Generalized gamma type distribution and its hazard rate function. Commun. Stat. Theory Methods 30(2), 309–318 (2001). doi:10.1081/STA-100002033

Andersen, L.B.G., Piterbarg, V.: Moment explosions in stochastic volatility models. Financ. Stoch. 11, 29–50 (2007)

Barber, D.: Bayesian Reasoning and Machine Learning. Cambridge University Press, Cambridge (2012)

Bayraktar, E., Kardaras, C., Xing, H.: Strict local martingale deflators and valuing American call-type options. Financ. Stoch. 16, 275–291 (2011)

Biagini, F., Föllmer, H., Nedelcu, S.: Shifting martingale measures and the slow birth of a bubble. Financ. Stoch. 18, 297–326 (2014)

Cox, A., Hobson, D.: Local martingales, bubbles and option prices. Financ. Stoch. 9, 477–492 (2005)

Cox, C.: The generalized F distribution: an umbrella for parametric survival analysis. Stat. Med. 27, 4301–4312 (2008)

Delbaen, F., Schachermayer, W.: The fundamental theorem of asset pricing for unbounded stochastic processes. Math. Ann. 312(2), 215–250 (1998)

Delbaen, F., Shirakawa, H.: No arbitrage condition for positive diffusion price processes. Asia-Pacific Financ. Mark. 9, 159–168 (2002)

Florens-Zmirou, D.: On estimating the diffusion coefficient from discrete observations. J. Appl. Probab. 30, 790–804 (1993)

Herdegen, M., Schweizer, M.: Economics-Based Financial Bubbles (and Why They Imply Strict Local Martingales), Swiss Finance Institute Research Paper No. 15-05. doi:10.2139/ssrn.2566815, SSRN: http://ssrn.com/abstract=2566815 (2015)

Hollebeek, T., Ho, T.S., Rabitz, H.: Constructing multidimensional molecular potential energy surfaces from AB initio data. Annu. Rev. Phys. Chem. 50, 537–570 (1999)

Jacod, J.: Rates of convergence to the local time of a diffusion. Ann. l’Inst. Henri Poincaré, Sect. B 34, 505–544 (1998)

Jacod, J.: Non-parametric Kernel estimation of the coefficient of a diffusion. Scand. J. Stat. 27, 83–96 (2000)

Jacod, J., Protter, P.: Probability Essentials, 2nd edn. Springer, Heidelberg (2004)

Jacod, J., Protter, P.: Strict Local Martingale Solutions of Stochastic Differential Equations. Working Paper (2015)

Jarrow, R., Kchia, Y., Protter, P.: How to detect an asset bubble. SIAM J. Financ. Math. 2, 839–865 (2011)

Jarrow, R., Protter, P., Shimbo, K.: Asset price bubbles in a complete market. In: Madan, D.B. (ed.) Advances in Mathematical Finance, pp. 105–130. Birkhauser, Boston (2006)

Jarrow, R., Protter, P., Shimbo, K.: Asset price bubbles in incomplete markets. Math. Financ. 20, 145–185 (2010)

Kardaras, C., Kreher, D., Nikeghbali, A.: Strict local martingales, bubbles. Ann. Appl. Probab. 25, 1827–1867 (2015)

Kotani, S.: On a condition that one dimensional diffusion processes are martingales. Memoriam Paul-André Meyer. Springer, Berlin (2006)

Lienhard, J.H., Meyer, P.L.: A physical basis for the generalized gamma distribution. Q. Appl. Math. 25(3), 330–334 (1967)

Lions, P.L., Musiela, M.: Correlations and bounds for stochastic volatility models. Ann. Inst. Henri Poincaré, (C) Nonlinear Anal. 24(1), 1–16 (2007)

Loewenstein, M., Willard, G.A.: Rational equilibrium asset-pricing bubbles in continuous trading models. J. Econ. Theory 91, 17–58 (2000)

Mijatović, A., Urusov, M.: On the martingale property of certain local martingales. Probab. Theory Relat. Fields 152, 1–30 (2012)

Prentice, R.L.: A log gamma model and its maximum likelihood estimation. Biometrika 61(3), 539–544 (1974)

Protter, P.: A mathematical theory of financial bubbles. In: Benth, F.E., et al. (eds.) Paris-Princeton Lectures on Mathematical Finance 2013, Lecture Notes in Mathematics (2081), pp. 1–108. Springer, Cham (2013)

Schneikman, J., Xiong, W.: Overconfidence and speculation bubbles. J. Polit. Econ. 111(6), 1183–1220 (2003)

Stacy, E.W.: A generalization of the gamma distribution. Ann. Math. Stat. 33, 1187–1192 (1962)

Sommerfeld, A.: Lectures on Theoretical Physics: Thermodynamics and Statistical Mechanics, vol. 5. Acadmemic Press, New York (1964)

Zhang, L., Mykland, P., Aït-Sahalia, Y.: A tale of two time scales: Determining integrated volatility with noisy high-frequency data. J. Am. Stat. Assoc. 100(472), 1394–1411 (2005). doi:10.1198/016214505000000169