Concept

Bulle spéculative japonaise

Publications associées (21)

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Sentiment, Asset Prices, and Systemic Risk

Loriano Mancini, Giovanni Barone-Adesi

Regulators charged with monitoring systemic risk need to focus on sentiment as well as narrowly defined measures of systemic risk. This chapter describes techniques for jointly monitoring the co-evolution of sentiment and systemic risk. To measure systemic ...

Cambridge University Press2012

Natural Expectations, Macroeconomic Dynamics, and Asset Pricing

Andreas Fuster

How does an economy behave if (1) fundamentals are truly hump-shaped, exhibiting momentum in the short run and partial mean reversion in the long run, and (2) agents do not know that fundamentals are hump-shaped and base their beliefs on parsimonious model ...

University of Chicago Press2012

Essays on Equilibrium Asset Pricing

Rodolfo Javier Prieto Katunaric

This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...

EPFL2010

Linearly Adjustable International Portfolios

Daniel Kuhn

We present an approach to multi‐stage international portfolio optimization based on the imposition of a linear structure on the recourse decisions. Multiperiod decision problems are traditionally formulated as stochastic programs. Scenario tree based solut ...

American Institute of Physics2010

Natural Expectations and Macroeconomic Fluctuations

Andreas Fuster

A large body of empirical evidence suggests that beliefs systematically deviate from perfect rationality. Much of the evidence implies that economic agents tend to form forecasts that are excessively influenced by recent changes. We present a parsimonious ...

2010

An optimal prediction problem in financial modelling

Violetta Bernyk

The subject of the present thesis is an optimal prediction problem concerning the ultimate maximum of a stable Lévy process over a finite interval of time. Such "optimal prediction" problems are of both theoretical and practical interest, in particular the ...

EPFL2007

Cavitation Bubble Dynamics inside Liquid Drops in Microgravity

Mohamed Farhat, Nicolas Dorsaz, Claude Nicollier, Danail Obreschkow, Philipp Kobel, Aurèle De Bosset

We report a fundamental study of single cavitation bubbles inside quasi-spherical water drops produced in microgravity (42nd ESA parabolic flight campaign, 8th ESA student parabolic flight campaign). High-speed imaging revealed implications of isolated, fi ...

2006

INTERACTION OF A CAVITATION BUBBLE WITH A SPHERICAL FREE SURFACE

Mohamed Farhat, Nicolas Dorsaz, Danail Obreschkow, Philipp Kobel, Aurèle De Bosset

The dynamic of a cavitation bubble inside a water drop is investigated in microgravity in order to analyze the interaction between the collapsing bubble and a quasispherical free surface. Tests are carried in the frame of the 42nd parabolic flight campaign ...

2006

Modelling vapour expansion of extruded cereals

Laurent Lach

The vapour expansion of extruded cereals is a versatile technique used in the food processing industry to produce a wide variety of light, crisp & crunchy products such as snacks, breakfast cereals and pet foods. The range of textures that can be produced ...

EPFL2006