Martingale Method Of Asset Price Bubble And Applications In Risk Management

In recent years, Asset bubbles pricing theory research has become an important proposition in financial economics, which analysis the various financial crisis produced by the micro financial mechanism. It can simulate the process of bubble formation in the market and the change of investor psychology imports on asset bubbles. with the rapid of economic development, China capital market is not only bound to bring a lot of innovations and modern financial services. but also brings a lot of asset bubbles. So how to recognize the birth of a bubble, reduce the impact of the bubble,is very important. In an incomplete financial market model, we study a flow in the space of equivalent martingale measures and the corresponding shifting perception of the fundamental value of a given asset. According to a convex combination, combined uniformly integrable martingale with Non-uniformly integrable martingale, with ξt changes, it allows us to capture the birth of a perceived bubble and to describe it as an initial submartingale which then turned into a supermartingale before it falls back to its initial value zero. Select the closed data of septwolves stock as an object of empirical analysis, and find septwolves exist more bubbles stock during 2011 to 2012. remove the stock price growth factors can be observed, the rest of the growth is caused by speculation.from it, we can look for the beginning and burst time of the bubble and then give the bubble warning.