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Multivariate bubbles and antibubbles

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Abstract

In this paper we develop models for multivariate financial bubbles and antibubbles based on statistical physics. In particular, we extend a rich set of univariate models to higher dimensions. Changes in market regime can be explicitly shown to represent a phase transition from random to deterministic behaviour in prices. Moreover, our multivariate models are able to capture some of the contagious effects that occur during such episodes. We are able to show that declining lending quality helped fuel a bubble in the US stock market prior to 2008. Further, our approach offers interesting insights into the spatial development of UK house prices.

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Authors and Affiliations

  1. Management School, The University of Sheffield, Conduit Road, Sheffield, S10 1FL, UK

    John Fry

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  1. John Fry
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Correspondence to John Fry.

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Fry, J. Multivariate bubbles and antibubbles. Eur. Phys. J. B 87, 174 (2014). https://doi.org/10.1140/epjb/e2014-50324-9

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  • DOI: https://doi.org/10.1140/epjb/e2014-50324-9

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