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q-fin.GN2011
Detection of Crashes and Rebounds in Major Equity Markets
Wanfeng Yan, Reda Rebib, Ryan Woodard +1
Financial markets are well known for their dramatic dynamics and consequences that affect much of the world's population. Consequently, much research has aimed at understanding, id…
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…