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- W4300487968 abstract "We consider a constructive model for asset price bubbles, where the market price $W$ is endogenously determined by the trading activity on the market and the fundamental price $W^F$ is exogenously given, as in the work of Jarrow, Protter and Roch (2012). To justify $W^F$ from a fundamental point of view, we embed this constructive approach in the martingale theory of bubbles, see Jarrow, Protter and Shimbo (2010) and Biagini, Follmer and Nedelcu (2014), by showing the existence of a flow of equivalent martingale measures for $W$, under which $W^F$ equals the expectation of the discounted future cash flow. As an application, we study bubble formation and evolution in a financial network." @default.
- W4300487968 created "2022-10-03" @default.
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- W4300487968 date "2016-11-04" @default.
- W4300487968 modified "2023-09-27" @default.
- W4300487968 title "Liquidity induced asset bubbles via flows of ELMMs" @default.
- W4300487968 doi "https://doi.org/10.48550/arxiv.1611.01440" @default.
- W4300487968 hasPublicationYear "2016" @default.
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