Jump to Content
Your Recent History
View CartSIAM J. Finan. Math. 2, pp. 839-865 (27 pages)
How to Detect an Asset Bubble
Alerts
Alert Me When Cited
Alert Me When Corrected
Tools
Download Citation
Add to MyScitation
Blog This Article
Print-Friendly
Research Toolkit
Share
Email Abstract
Connotea
CiteULike
del.icio.us
BibSonomy
Tweet this Article
Add to FacebookAfter the 2007 credit crisis, financial bubbles have once again emerged as a topic of current concern. An open problem is to determine in real time whether or not a given asset's price process exhibits a bubble. Due to recent progress in the characterization of asset price bubbles using the arbitrage-free martingale pricing technology, we are able to propose a new methodology for answering this question based on the asset's price volatility. We limit ourselves to the special case of a risky asset's price being modeled by a Brownian driven stochastic differential equation. Such models are ubiquitous both in theory and in practice. Our methods use sophisticated volatility estimation techniques combined with the method of reproducing kernel Hilbert spaces. We illustrate these techniques using several stocks from the alleged Internet dot-com episode of 1998–2001, where price bubbles were widely thought to have existed. Our results confirm the suspicions of the presence of bubbles in many of the dot-com stocks of 1998–2001.
© 2011 Society for Industrial and Applied Mathematics
KEYWORDS
ARTICLE DATA
History
Received May 28, 2010
Accepted July 11, 2011
Published online October 12, 2011
Accepted July 11, 2011
Published online October 12, 2011
Digital Object Identifier
For access to fully linked references, you need to log in.
ALL SIAM Content
Scitation
Google Scholar