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A Deterministic Description of Irrational and Semi-Rational Bubbles in Asset Markets

International Journal of Financial Management

Volume 5 Issue 2

Published: 2015
Author(s) Name: Tanmoy Ganguli | Author(s) Affiliation: Assistant Manager (Financial Services Analytics), Genpact, Kolkata, West Bengal, India.
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Abstract

This present work provides a deterministic description irrational and semi-rational bubbles based on the stylized description forwarded by Hyman Minsky (1972), Day and Huang (1990) respectively. The paper emphasizes on two areas: First, it proposes a mathematical representation of an irrational bubble using piece-wise linear maps in a discrete time frame. Second, it studies the chaotic signals generated by them to explain the instability in asset price bubbles and explains the factors which impact their longevity.

Keywords: Irrational Bubbles, Semi-Rational Bubbles, Piece-Wise Linear Maps

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