An Anatomy of Stock Market Bubbles

Qun ZHANG, Baiyi WU


With the ups and downs of the international financial markets, it is necessary to deepen the understanding of the stock market bubbles. This study does an anatomy of stock market bubbles from different aspects. First, the definitions are roughly bunched into two categories --- the so-called conditional and comparative definitions are mainly based on a deviation from a fundamental value, while the statistical and structural definitions are based on the existence of a strong change of regime. Associated with the review of mechanisms for fueling stock market bubbles, it further presents the varying theoretical models, as well as the detection and prediction methodologies. Finally, three main directions for interdisciplinary and collaborative researches are proposed.


Bubbles; Stock market; Positive feedback; Super-exponential price

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