Multivariate bubbles and antibubbles

John Fry

The European Physical Journal B: Condensed Matter and Complex Systems, 2014, vol. 87, issue 8, 1-7

Abstract: In this paper we develop models for multivariate financial bubbles and antibubbles based on statistical physics. In particular, we extend a rich set of univariate models to higher dimensions. Changes in market regime can be explicitly shown to represent a phase transition from random to deterministic behaviour in prices. Moreover, our multivariate models are able to capture some of the contagious effects that occur during such episodes. We are able to show that declining lending quality helped fuel a bubble in the US stock market prior to 2008. Further, our approach offers interesting insights into the spatial development of UK house prices. Copyright EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg 2014

Keywords: Statistical and Nonlinear Physics (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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DOI: 10.1140/epjb/e2014-50324-9

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