شماره ركورد كنفرانس :
4155
عنوان مقاله :
Detecting Bubbles in Tehran Stock Exchange
پديدآورندگان :
Naghshineh Arjmand Omid naghshineh@aut.ac.ir Amirkabir University of Technology in Tehran , Salavati Erfan erfan.salavati@aut.ac.ir Amirkabir University of Technology in Tehran , Zare Mohammad mohammad.zare1988@yahoo.com Amirkabir University of Technology in Tehran
كليدواژه :
Bubble , Strict local martingale , Stochastic differential equation
عنوان كنفرانس :
اولين همايش ملي روشهاي مدرن در قيمت گذاري هاي بيمه اي و آمارهاي صنعتي
چكيده فارسي :
In the last 15 years there has been new researches in mathematical models for financial bubbles. Recent advances suggest the use of strict local martingales as models for bubbles. In this article, we have applied these methods to the stock prices in Tehran Stock Exchange to test the existence of possible bubbles.
