Multivariate bubbles and antibubbles

John Fry

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Econophysics; Bubbles; Antibubbles; Contagion (search for similar items in EconPapers)
JEL-codes: C0 C02 C10 G0 G01 (search for similar items in EconPapers)
Date: 2014-05-19
New Economics Papers: this item is included in nep-ecm and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Journal Article: Multivariate bubbles and antibubbles (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:56081

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