Jarrow research on detecting market bubbles sweeps press

11/14/2011 10:03:00 AM

Cited by multiple outlets including ScienceDaily, Robert Jarrow et al. research on mathematically identifying bubbles could prove vitally important in helping to prevent severely impactful collapses

Excerpt from "Mathematically detecting stock market bubbles before they burst," (ScienceDaily, Oct. 31)

From the dotcom bust in the late nineties to the housing crash in the run-up to the 2008 crisis, financial bubbles have been a topic of major concern. Identifying bubbles is important in order to prevent collapses that can severely impact nations and economies.

A paper published this month in the SIAM Journal on Financial Mathematics addresses just this issue. Opening fittingly with a quote from New York Federal Reserve President William Dudley emphasizing the importance of developing tools to identify and address bubbles in real time, authors Robert Jarrow [Johnson professor of finance], Younes Kchia, and Philip Protter propose a mathematical model to detect financial bubbles. MORE
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