An Econophysics Model of Financial Bubbles

• 作者: Bodo Herzog
• 来源期刊: 自然科学期刊(英文)
• 学科: 医学
• 关键词: FINANCIAL BUBBLES ECONOPHYSICS WAVE EQUATION FINANCIAL Crises
• 年，卷（期）: zrkxqkyw_2015,（1）
• 页码范围: 55-63
• 页数: 9页
• 分类号: R73

摘要

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.