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Hidden Collective Factors in Speculative Trading

A Study in Analytical Economics

  • Book
  • © 2001

Overview

Authors:
  1. Bertrand M. Roehner

    1. University Paris VII LPTHE, Paris, France

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  • Presents unified mathematical theory of speculation
  • No technical prerequisites required

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Table of contents (10 chapters)

  1. Front Matter

    Pages i-xv
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  2. Prologue

    1. Introduction

      • Bertrand M. Roehner
      Pages 1-11

    2. Overall view of speculative markets

      • Bertrand M. Roehner
      Pages 13-46

  3. Hidden Collective Determinants

    1. Rational?

      • Bertrand M. Roehner
      Pages 47-64

    2. Joint crashes

      • Bertrand M. Roehner
      Pages 65-81

    3. Contagion of speculative frenzy

      • Bertrand M. Roehner
      Pages 83-116

  4. Regularities in Speculative Episodes

    1. Peak amplitude: the price multiplier effect

      • Bertrand M. Roehner
      Pages 117-149

    2. Peak shape: the sharp peak — flat trough pattern

      • Bertrand M. Roehner
      Pages 151-178

    3. Stock market bubbles

      • Bertrand M. Roehner
      Pages 179-195

  5. Epilogue

    1. Conclusion

      • Bertrand M. Roehner
      Pages 197-201

    2. Selected data

      • Bertrand M. Roehner
      Pages 203-213

  6. Back Matter

    Pages 215-229
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Keywords

About this book

Besides analyzing stock markets, the book considers a wide range of speculative markets for various items such as real estate, commodities , postage-stamps, antiquarian books. In particular, it highlights the following regularities:(i) During a speculative episode, the price of expensive items increases more than the price of less expensive items. This is referred to as price multiplier effect.(ii) Price peaks for stocks and most commodities on average follow a well-defined pattern that we call the sharp peak - flat through pattern; in contrast real estate price peaks follow a flat peak pattern.(iii) The stocks whose prices experience the strongest increase during a bull market, better resist during the subsequent bear market, an effect referred to as the resilience pattern. Such regularities pave the way for a mathematical theory of speculation. Being mainly empirical, the book is easy to read and does not require technical prerequisites in finance, economics or mathematics.

Reviews

From the reviews of the first edition:

"This book promises a lot. … I found myself quite fascinated by the multitude of market events which are tabulated and carefully related to each other. … The book is an excellent example of why the econophysics approach is so very welcome in the finance field. … the book in general is an interesting and satisfying read." (Jessica James, Quantitative Finance, November 2001)

Authors and Affiliations

  • University Paris VII LPTHE, Paris, France

    Bertrand M. Roehner

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