Modelling bubbles and crashes in economics
John Fry
Broschiertes Buch

Modelling bubbles and crashes in economics

With an application to English house prices

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The idea has recently emerged from the physics literature that it might be possible to develop a mathematical theory of financial crashes. This book deals with practical statistical aspects of the theory. A probabilistic model for bubbles is developed and applied to the recent English housing bubble. It is found that there was a nationwide housing bubble in English house prices in the years 2002-2007. Typically prices were 30-40% over-valued and fell around 20%. London is atypical in that the level of over-pricing was lower, only around 20%, and experienced a drop in prices of only around 15%....