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摘要翻译：
几个世纪以来，市场崩溃的插曲一直让经济学家着迷。尽管许多学者、实践者和政策制定者研究了与资产价格泡沫破裂有关的问题，但对其原因和影响还没有达成共识。这篇评论和文章评估了一些假说，这些假说用来解释通常伴随着资产价格泡沫而来的市场崩溃。从历史的叙述和对过去泡沫和崩溃的综合出发，我们从有效市场假说的发展角度来看待这个问题。然后，我们提出了基于异质代理的模型和套利限制，以防止理性代理在泡沫膨胀之前破裂泡沫。然后，我们探索了另一套解释，解释为什么理性交易者会通过预期噪音交易者的行为或意识到同步他们的行动的困难而实际上从泡沫中获利并在泡沫中冲浪。最后，我们讨论了社会模仿的一个复杂系统方法，导致集体市场制度，如羊群行为和分叉（或相变）现象，使不稳定市场制度中可能发生的崩溃合理化。关键的见解是，当考虑到导致短暂的“超指数”价格增长的正反馈机制时，诊断泡沫可能是可行的，即泡沫。
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英文标题：
《Market bubbles and crashes》
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作者：
T. Kaizoji and D. Sornette
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最新提交年份：
2008
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes and effects. This review and essay evaluates some of the hypotheses offered to explain the market crashes that often follow asset price bubbles. Starting from historical accounts and syntheses of past bubbles and crashes, we put the problem in perspective with respect to the development of the efficient market hypothesis. We then present the models based on heterogeneous agents and the limits to arbitrage that prevent rational agents from bursting bubbles before they inflate. Then, we explore another set of explanations of why rational traders would be led to actually profit from and surf on bubbles, by anticipating the behavior of noise traders or by realizing the difficulties in synchronizing their actions. We then end by discussing a complex system approach of social imitation leading to collective market regimes like herding and the phenomenon of bifurcation (or phase transition) that rationalize what crash can occur in unstable market regimes. The key insight is that diagnosing bubbles may be feasible when taking into account the positive feedback mechanisms that give rise to transient "super-exponential" price growth, the bubbles.
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PDF链接：
https://arxiv.org/pdf/0812.2449
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