3 papers
q-fin.GN2011
Role of Diversification Risk in Financial Bubbles
Wanfeng Yan, Ryan Woodard, Didier Sornette
We present an extension of the Johansen-Ledoit-Sornette (JLS) model to include an additional pricing factor called the "Zipf factor", which describes the diversification risk of th…
q-fin.GN2010
Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration
Wanfeng Yan, Ryan Woodard, Didier Sornette
Identifying unambiguously the presence of a bubble in an asset price remains an unsolved problem in standard econometric and financial economic approaches. A large part of the prob…
q-fin.GN2010
Leverage Bubble
Wanfeng Yan, Ryan Woodard, Didier Sornette
Leverage is strongly related to liquidity in a market and lack of liquidity is considered a cause and/or consequence of the recent financial crisis. A repurchase agreement is a fin…