Advanced search
Publication Cover
Quantitative Finance Volume 12, 2012 - Issue 9
Submit an article Journal homepage
785
Views
24
CrossRef citations to date
0
Altmetric
Research Papers

A liquidity-based model for asset price bubbles

Robert A. Jarrow Johnson Graduate School of Management, Cornell University, Ithaca, NY 14853, USA
,
Philip Protter Statistics Department, Columbia University, New York, NY 10027, USA
&
Alexandre F. Roch ESG UQAM, Département de finance, Montréal, CanadaCorrespondence[email protected]
Pages 1339-1349 | Received 01 Feb 2010, Accepted 22 Aug 2011, Published online: 03 Nov 2011

Citations (24)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (2)

Bill Hu, Joon Ho Hwang, Chinmay Jain & Jim Washam. (2022) Bitcoin price manipulation: evidence from intraday orders and trades. Applied Economics Letters 29:2, pages 140-144.
Read now
Xiaoli L. Etienne. (2017) Irrational exuberance in the Chinese iron ore market?. Applied Economics Letters 24:16, pages 1161-1166.
Read now

Articles from other publishers (22)

Francesca Biagini & Thomas Reitsam. (2022) Asset price bubbles in markets with transaction costs. Frontiers of Mathematical Finance 1:3, pages 397.
Crossref
Francesca Biagini, Andrea Mazzon & Thilo Meyer-Brandis. (2019) Financial Asset Bubbles in Banking Networks. SIAM Journal on Financial Mathematics 10:2, pages 430-465.
Crossref
Francesca Biagini, Andrea Mazzon & Thilo Meyer-Brandis. (2018) Liquidity Induced Asset Bubbles via Flows of ELMMs. SIAM Journal on Financial Mathematics 9:2, pages 800-834.
Crossref
Francesca Biagini & Jacopo Mancin. (2017) Financial asset price bubbles under model uncertainty. Probability, Uncertainty and Quantitative Risk 2:1.
Crossref
Ashwin Kumar TK & K. M. George. (2016) Application of an Asset Bubble Model to Microblog Data Analytics. Application of an Asset Bubble Model to Microblog Data Analytics.
Robert A. Jarrow. (2015) Asset Price Bubbles. Annual Review of Financial Economics 7:1, pages 201-218.
Crossref
Dick Bryan, Michael Rafferty & Chris Jefferis. (2015) Risk and Value: Finance, Labor, and Production. South Atlantic Quarterly 114:2, pages 307-329.
Crossref
Ogonna Nneji. (2015) Liquidity shocks and stock bubbles. Journal of International Financial Markets, Institutions and Money 35, pages 132-146.
Crossref
Robert Jarrow & Philip Protter. (2015) Liquidity Suppliers and High Frequency Trading. SIAM Journal on Financial Mathematics 6:1, pages 189-200.
Crossref
Francesca Biagini & Sorin Nedelcu. (2015) The Formation of Financial Bubbles in Defaultable Markets. SIAM Journal on Financial Mathematics 6:1, pages 530-558.
Crossref
Robert A. Jarrow & Alexandre F. Roch. (2014) Liquidity risk and the term structure of interest rates. Mathematics and Financial Economics 9:1, pages 57-83.
Crossref
Robert Jarrow & Hao Li. (2014) The impact of quantitative easing on the US term structure of interest rates. Review of Derivatives Research 17:3, pages 287-321.
Crossref
Bruno Remillard. 2014. Statistics in Action. Statistics in Action.
Fred Espen Benth, Dan Crisan, Paolo Guasoni, Konstantinos Manolarakis, Johannes Muhle-Karbe, Colm Nee & Philip ProtterPhilip Protter. 2013. Paris-Princeton Lectures on Mathematical Finance 2013. Paris-Princeton Lectures on Mathematical Finance 2013 1 108 .
Robert A. Jarrow & Philip Protter. (2013) Liquidity Suppliers and High Frequency Trading. SSRN Electronic Journal.
Crossref
Ogonna Nneji. (2013) Liquidity Shocks and Stock Bubbles. SSRN Electronic Journal.
Crossref
Robert A. Jarrow & Alexandre F. Roch. (2013) Liquidity Risk and the Term Structure of Interest Rates. SSRN Electronic Journal.
Crossref
Philip Protter. (2012) A Mathematical Theory of Financial Bubbles. SSRN Electronic Journal.
Crossref
Robert A. Jarrow & Hao Li. (2012) The Impact of Quantitative Easing on the U.S. Term Structure of Interest Rates. SSRN Electronic Journal.
Crossref
Samuel N. Cohen & Lukasz Szpruch. (2011) A Limit Order Book Model for Latency Arbitrage. SSRN Electronic Journal.
Crossref
Robert A. Jarrow & Philip Protter. (2011) A Dysfunctional Role of High Frequency Trading in Electronic Markets. SSRN Electronic Journal.
Crossref
Selim Gokay, Alexandre Roch & Halil Mete Soner. (2010) Liquidity Models in Continuous and Discrete Time. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.