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Modelling bubbles and crashes in economics

 

Marketed By :  VDM Verlag Dr. Müller   Sold By :  Kamal Books International  
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  • Product Description
 

The idea has recently emerged from the physics literature that it might be possible to develop a mathematical theory of financial crashes. This book deals with practical statistical aspects of the theory. A probabilistic model for bubbles is developed and applied to the recent English housing bubble. It is found that there was a nationwide housing bubble in English house prices in the years 2002-2007. Typically prices were 30-40% over-valued and fell around 20%. London is atypical in that the level of over-pricing was lower, only around 20%, and experienced a drop in prices of only around 15%. There is also some suggestion of contagious effects, with the bubble in London affecting prices in Yorkshire and the North. Additional topics discussed include the application of power-laws to market crashes and methods for illiquidity crisis models – dealing with the transfer of shocks across economic systems. This work will be of interest to market analysts and those at the interface of academic and commercial work in particular. Whilst containing some deeply mathematical themes, the book is nonetheless intended to be usable and some computer code is contained in an Appendix.

Product Specifications
SKU :COC26698
AuthorJohn Fry
LanguageEnglish
BindingPaperback
Number of Pages68
Publishing Year3/30/2010
ISBN978-3639228717
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandVDM Verlag Dr. Müller
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-29 00:00:00
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