Финансовые пузыри как дивергенция цен активов

NRU Higher School of Economics , 2011. No. 05.

Smirnov A. D.

Constructed a model of financial markets transition from laminar to turbulent regime. Such a transition manifests itself in emergence and evolution of financial bubbles that ultimately burst in subsequent crises. The bubble emergence is analyzed in a stochastic context of “large asset price deviations” from their fundamental value. Irrational herding of financial investors, in particular, bears responsibility for asset prices divergence which in the model takes place at the critical point of liquidity issuance. Bursting of a bubble is viewed as a result of financial investors interactions producing qualitative changes to the aggregate system behavior. The latter formally is represented as singularity of a Bernoullian differential equation that could be studied via percolation process in the financial market. Investigation of a system’s behavior near the point of singularity seems to be of vital importance since it provides essential clues to our understanding of “how markets fail”.

Keywords: financial bubble, финансовый пузырь, кредитный кризис, credit meltdown, уравнения математической физики, финансовая наука, денежные и налоговые теории, кредитно-финансовые институты, математические модели естественных наук и технических наук