Posts Tagged ‘Burbuja


Paper: El rol del Default en Macroeconomía

The Role of Default in Macroeconomics

What is the main limitation of much modern macro-economic theory, among the failings pointed out by William R. White at the 2010 Mayekawa Lecture? We argue that the main deficiency is a failure to incorporate the possibility of default, including that of banks, into the core of the analysis. With default assumed away, there can be no role for financial intermediaries, for financial disturbances, or even for money. Models incorporating defaults are, however, harder to construct, in part because the representative agent fiction must be abandoned. Moreover, financial crises are hard to predict and to resolve. All of the previously available alternatives for handling failing systemically important financial institutions (SIFIs) are problematical. We end by discussing a variety of current proposals for improving the resolution of failed SIFIs.

Link al Paper


Paper: Formación de Burbujas

Market efficiency, anticipation and the formation of bubbles-crashes

A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of its own private information, the public information and its own analysis. It then adjusts such opinion through the market as it observes sequentially the behavior of a group of random selection of other agents. Its choice is then determined by a local majority rule including itself. Whenever the selected group is at a tie, i.e., it is undecided on what to do, the choice is determined by the local group belief with respect to the anticipated trend at that time. These local adjustments create a dynamic that leads the market price formation. In case of balanced anticipations the market is found to be efficient in being successful to make the “right price” to emerge from the sequential aggregation of all the local individual informations which all together contain the fundamental value. However, when a leading optimistic belief prevails, the same efficient market mechanisms are found to produce a bullish dynamic even though most agents have bearish private informations. The market yields then a wider and wider discrepancy between the fundamental value and the market value, which in turn creates a speculative bubble. Nevertheless, there exists a limit in the growing of the bubble where private opinions take over again and at once invert the trend, originating a sudden bearish trend. Moreover, in the case of a drastic shift in the collective expectations, a huge drop in price levels may also occur extremely fast and puts the market out of control, it is a market crash.

Link al Paper


¿rule of thumb para burbujas o nos ponemos a trabajar?

Sea por el IPO de Linkedin, los commodities u otro activo, la pregunta sobre cómo identificar -ex ante- una burbuja se transforma (cada tanto) en el Santo Grial.

En esta ocacion -y gracias a Abnormal Returns– ofrece una rule of thumb (con 14 items) para identificar una burbuja en tiempo real.

1. Standard Deviations of Valuation: Look at traditional metrics –  valuations, P/E, price to sales, etc. — to rise two or even three standard deviations away from the historical mean.

2. Significantly elevated returns:  The S&P500 returns in the 1990s were far beyond what one could reasonably expect on a sustainable basis. The years around Greenspan’s “Irrational Exuberance” speech suggest that a bubble was forming:

1995    37.58
1996    22.96
1997    33.36
1998    28.58
1999    21.04

And the Nasdaq numbers were even better.

3. Excess leverage: Every great financial bubble has at its root easy money and rampant speculation. Find the leverage, and speculation won’t be too far behind.


Por otro lado, All About Alpha invita a mirar en la actual bibliografia dura en la materia (Jarrow) posibles herramientas de trading.

Bubbles can create investment opportunities or act as predators for risk managers. While much academic research previously focused on how they formed, papers like this are beginning to provide toolkits for traders and risk managers to see, in real-time, the formation and presence of bubbles in a range of asset classes.


Paper: Lunes de Burbujas

Is There a Bubble in LinkedIn’s Stock Price?

Recent academic work has developed a method to determine, in real time, if a given stock is exhibiting a price bubble. Currently there is speculation in the nancial press concerning the existence of a price bubble in the aftermath of the recent IPO of LinkedIn. We analyze stock price tick data from the short lifetime of this stock through May 24, 2011, and we nd that LinkedIn has a price bubble.

Link al Paper


Infograma du Jour: ♫ I’m Forever Blowing Bubbles ♫

(Fuente: New York Mag, via Abnormal Returns)


Finanzas 101: burbujas

Vox tiene un post sobre el origen y las implicaciones de las burbujas en el precio de ciertos activos. Parte desde la clásica pregunta: ¿Que es una burbuja?; para terminar enumerando los avances en los modelos que buscan explicarlas.


Despite the recurrent nature of bubbles and their macroeconomic implications, however, we still lack a stylised model to answer the basic questions:

  • What is the origin of bubbly episodes?
  • Why are they unpredictable?
  • How do bubbles affect consumption, the capital stock, and output?




Tabla du Jour: ¿Burbuja 2011? Debatan…

(Fuente: Surly Trader)

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"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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April 2020



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