Multivariate bubbles and antibubbles

Fry, John

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.

Citation

Fry, J. (2014). Multivariate bubbles and antibubbles. European Physical Journal B : Condensed Matter and Complex Systems, 87, Article 174. https://doi.org/10.1140/epjb/e2014-50324-9

• Journal Article Type: Article
• Acceptance Date: Feb 1, 2014
• Online Publication Date: Aug 1, 2014
• Publication Date: 2014
• Deposit Date: Feb 4, 2022
• Journal: European Physical Journal B
• Print ISSN: 1434-6028
• Electronic ISSN: 1434-6036
• Publisher: EDP Sciences
• Peer Reviewed: Peer Reviewed
• Volume: 87
• Article Number: 174
• DOI: https://doi.org/10.1140/epjb/e2014-50324-9
• Keywords: Statistical and Nonlinear Physics
• Public URL: https://hull-repository.worktribe.com/output/3920993