Semantic Scholar Open Access 2000 9 sitasi

“Slimming” of power-law tails by increasing market returns

D. Sornette D. Sornette

Lihat Sumber DOI

Abstrak

We introduce a simple generalization of rational bubble models which removes the fundamental problem discovered by Lux and Sornette (J. Money, Credit and Banking, preprint at http://xxx.lanl.gov/abs/cond-mat/9910141) that the distribution of returns is a power law with exponent rδ corresponds to a generalization of the rational bubble model in which the fundamental price is no more given by the discounted value of future dividends. We explain how this is possible. Our model predicts that, the higher is the market remuneration r above the discount rate, the larger is the power-law exponent and thus the thinner is the tail of the distribution of price returns.

Topik & Kata Kunci

Physics Economics

Penulis (2)

D. Sornette

Format Sitasi

APA MLA BibTeX

Sornette, D., Sornette, D. (2000). “Slimming” of power-law tails by increasing market returns. https://doi.org/10.1016/S0378-4371(02)00614-3

Akses Cepat

Lihat di Sumber doi.org/10.1016/S0378-4371(02)00614-3

Informasi Jurnal

Tahun Terbit: 2000
Bahasa: en
Total Sitasi: 9×
Sumber Database: Semantic Scholar
DOI: 10.1016/S0378-4371(02)00614-3
Akses: Open Access ✓