We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free),
in which fundamentalist and chartist traders co-exist. Fundamentalists form …

We construct risk-neutral return probability distributions from S&P 500 options data over the
decade 2003–2013, separable into pre-crisis, crisis and post-crisis regimes. The pre-crisis …

… Author links open overlay panel Matthias Leiss a b , Heinrich H. Nax b … Leiss acknowledges
support by the ETH Risk Center and through the Swiss National Science Foundation grant ‘…

This article presents a new way of modeling the dynamics of an exchange rate target zone.
In the presence of a single upper (lower) target boundary, the exchange rate is precisely …

Understanding the origins and characteristics of large stock price movements is key to the
management of financial market risk. Traditionally it is assumed that large drawdowns are …

… We refer the interested reader to a supplementary paper to ours (Leiss et al., 2014) in which
we discuss in detail the properties of the RNDs during and around the Financial Crisis (see …

We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free),
in which rational investors and noise traders co-exist. Rational investors form …

Transient super-exponentiality is a well-known statistical regularity of financial markets and
generally associated with unsustainable growth and bubbles. We contribute to the …

Leverage has been shown to be procyclical and indicative of financial market risk. Here, we
present a novel, inherently forward-looking way to estimate market leverage ratios based on …

We study a rational expectation model of bubbles and crashes. The model has two components:
(1) our key assumption is that a crash may be caused by local self-reinforcing imitation …