本研究共採用十種異質投資人模型（Heterogeneous
Agents Model）解釋台灣股市中投資人與股價變化所構築的動態囍統，以及市場中資產泡沫化的觀察。實證結果發現，在台灣市場中的確存在兩種類型的投資者，分別為認為觀察長期股價變化的長線投資者，以及短線操作的投資者。本研究針對不同的資料頻率，以及不同長度的移動平均價格代表長期均衡價格進行實證。研究發現長期投資者認為股價終將回歸至中長期的移動平均價格（一年以上之移動平均），但將進一步偏離短期的移動平均（季移動平均或半年移動平均），此型態在不同的交易頻率下維持一致。短期操作的投資者在日頻率及月頻率的交易行為為動能策略，週頻率下則認為價格將回歸至周平均報酬，且短期操作者的策略並不受
長期投資者的策略所影響。本研究延伸異質投資人模型與資產價格泡沫化、崩盤的相關研究，實證結果發現，在過去三段的金融海嘯期間，亞洲金融海嘯以及次級房貸期間，長期投資者採取著不同的交易策略。短期動能操作者以及採取動能策略之長期動資者，將增加市場波動性。進一步探討異質投資人模型與價格崩盤的關係，本研究將台灣市場過去二十年的價格變化曲分成長期景氣循環的崩盤，以及短期暴跌的
崩盤。實證結果發現，長期投資者採取價格將回歸基本價值的操作策略，將增加景氣循環式崩盤的可能性，短期動能操作者則是增加了暴跌式崩盤的可能性。若以異質投資人模型的參數代表市場中的不確定性，當市場存在短期動能操作
策略以及深信價格將回歸至長期基本價值的投資者時，不確定性越大，越容易發生景氣循環式的崩盤。

Taiwanese stock market. The results suggest that
there exist two heterogeneous agents in Taiwanese stock market, α-investors behaving as long-term contrarian and β-investor behaving as short-term momentum traders. To
depict in detail the practical financial market, this research empirically tests HAM with different fundamental values (measured by the moving average price in different
rolling windows) across different investment frequencies (daily, weekly and monthly). The result suggests that α-investors (fundamentalists) expect prices to deviate from
the short-term moving average but mean revert to long-term moving average. Beta investors (chartists) act as momentum traders in daily and monthly frequency, but
short-term contrarian in weekly frequency. In addition, this study tests whether the parameters in HAM can explain some characteristics of crashes and bubbles. The result suggests that there are different investor behaviors in Asian, Dotcom, and Subprime crashes. By comparing the
parameters (α, β, and γ) of each individual stock, the study finds that stocks with contrarian α-investors and short-term momentum β-investors acting as short-term momentum traders have more volatile price pattern. As to crashes and individual stock volatility, the result suggests that sudden crashes (abrupt price decline) tend to occur in the stocks with short-term momentum traders, and while general crash (longterm economic cycle) tend to occur in the stocks with long-term contrarian investors. Stocks with larger Gamma, proxy for uncertainty, tends to have general crash only when α-investors acting as contrarian and β-investors acting as momentum traders.

1 Introduction 1
1.1 What is the Heterogeneous Agent Model (HAM)? 1
1.1.1 In Academic View 1
1.1.2 In Practical View 4
1.2 Heterogeneous Agents and Bubbles 5
1.2.1 What May Drive Bubbles 6
1.2.2 HAM in Bubbles 7
1.3 What Are the Differences of this Study from other HAM Studies 9
1.4 Main Finding of this Study 12
2 Related Literatures 13
2.1 Heterogeneous Agents Model 13
2.1.1 Catastrophe Theory 13
2.1.2 Heterogeneous Agents in Real Markets 14
2.1.3 Heterogeneous Propositions of Investors 15
2.1.4 Theory Model and Simulation Results 16
2.1.5 Empirical Analysis 19
2.2 Bubbles 24
2.2.1 What is Bubble? 24
2.2.2 What Causes the Bubble? 26
2.2.3 Who Causes and Bursts the Bubbles? 35
2.2.4 Forecast 37
3 Model and Hypothesis 47
3.1 Model 47
3.1.1 Threshold-Dynamic model 48
3.1.2 Threshold-Dynamics-Asymmetry model 49
3.1.3 Effective-Weight-Chartist model 49
3.1.4 Effective-Weight-Chartist-Asymmetry model 50
3.1.5 Effective-Weight-Fundamentalist model 51
3.1.6 Effective-Weight-Fundamentalist-Asymmetry model 51
3.1.7 Relative-Performance-F-C model 52
3.1.8 Relative-Performance-F-C-Asymmetry model 53
3.1.9 Relative-Performance-F-AR-MA model 54
3.1.10 Relative-Performance-F-AR-MA-Asymmetry model 55
3.2 Hypothesis 56
3.2.1 The Validity of HAM in TWSE market 56
3.2.2 Applying HAM to Explain Bubbles and Crises 57
3.3 Simulation Methodology 59
4 Data 60
4.1 Empirical Samples 60
4.2 Sample Period 60
4.2.1 Prominent Crashes Periods 60
4.2.2 Drawdowns in TWSE 63
4.2.3 Bubble-like pattern burst periods 64
5 Empirical Analysis 67
5.1 The validity of HAM in TWSE market 68
5.1.1 The Existence of Heterogeneous Investors in Taiwan Stock Market 68
5.1.2 α-Investors and β-Investors Strategies Under Various Dimensions 73
5.2 Bubble and crisis in HAM 84
5.2.1 Investor Weight and the Boom and Burst of Bubble 84
5.2.2 HAM and Three Crashes 88
5.2.3 Uncertainty and HAM Parameters 93
6 Conclusion 111
6.1 HAM in academic view 111
6.2 HAM in practical view 113
6.3 Further research and improvement 113
7 Reference 117

Abreu, D., & Brunnermeier, M. K. (2003). Bubbles and Crashes. Econometrica , 71 (1), 173-204.
Abreu, D., & Brunnermeier, M. K. (2002). Synchronization risk and delayed arbitrage. Journal of Financial Economics , 66 (2-3), 341-360.
Ahrens, R., & Reitz, S. (2005). Heterogeneous expectations in the foreign exchange market Evidence from daily DM/US Dollar exchange rates. Journal of
Evolutionary Economics , 15 (1), 65-82.
Alessi, L., & Detken, C. (2011). Quasi real time early warning indicators for costly asset prices boom/bust cycles: A role for global liquidity. European Journal of
Political Economy .
Allen, F., & Gorton, G. (1993). Churning Bubbles . The Review of Economic Studies, 60 (4), 813-836 .
Allen, F., Morris, S., & Postlewaite, A. (1993). Finite Bubbles with Short Sale Constraints and Asymmetric Information. Journal of Economic Theory , 61 (2),
206-229.
Allen, F., Morris, S., & Postlewaite, A. (1993). Finite Bubbles with Short Sale Constraints and Asymmetric Information. Journal of Economic Theory , 61 (2),
206-229.
Amilon, H. (2008). Estimation of an adaptive stock market model with heterogeneous agents . Journal of Empirical Finance , 15 (2), 342-362 .
Anders Johansen, D. S. (1999). Predicting financial crashes using discrete scale invariance. Working Paper .
Anders Johansen, O. L. (2000). Crashes as critical points. Working Paper .
Atilgan, Y., Bali, T. G., & Demirtas, K. O. (2010). Implied volatility spreads, skewness and expected market returns. Working Paper .
Baak, S. J. (1999). Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations . Journal of Economic Dynamics and
Control , 23 (9-10), 1517-1543 .
Barber, B. M., Odean, T., & Zhu, N. (2009). Do Retail Trades Move Markets? . Review of Financial Studies , 22 (1), 151-186.
Bates, D. S. (2000). Post-’87 crash fears in the S&P 500 futures option market. Journal of Econometrics , 94, 181-238.
Bates, D. S. (1991). The crash of ’87: Was it expected? The evidence from options markets. The Journal of Finance .
Battalio, R., & Schultz, P. (2006). Options and the Bubble. The Journal of Finance , 61 (5), 2071-2102.
Berardi, M. (2011). Fundamentalists vs. chartists: Learning and predictor choice dynamics. Journal of Economic Dyhnamic & Controol , 35, pp. 776-792.
Bikhchandani, S., Hirshleifer, D., & Welch, I. (1992). A theory of fads, fashion, custom, and cultural change as information cascade . The Journal of Political
Economy , 100 (5), 992-1026.
Boehmer, E., & Kelley, E. K. (2009). Institutional Investors and the Informational Efficiency of Prices. The Review of Financial Studies , 22 (9), 3563-3594.
Boswijk, H. P., Hommes, C. H., & Manzan, S. (2007). Behavioral heterogeneity in stock prices . Journal of Economic Dynamics and Control , 31 (6), 1938-1970.
Boyer, B., Mitton, T., & Vorkink, K. (2010). Expected idiosyncratic skewness. The Review of Financial Studies , 23 (1).
Boyson, N. M. (2010). Implicit incentives and reputational herding by hedge fund managers . Journal of Empirical Finance , 17 (3), 283-299 .
Bree, D. S. (2010). Fitting the log periodic power law to financial crashes: a critical analysis. Working Paper .
Brennan, M. J. (2004). How Did It Happen? Economic Notes , 33 (1), 3-22.
Bris, A., Goetzmann, W. N., & Zhu, N. (2007). Efficiency and the Bear: Short Sales and Markets Around the World. The Journal of Finance , 62 (3), 1029-1079.
Brunnermeier, M. K., & Nagel, S. (2004). Hedge Funds and the Technology Bubble. The Journal of Finance , 59 (5), 2013-2040.
Bussiere, M., & Fratzscher, M. (2008). Low probability, high impact: Policy making and extreme events. Journal of Policy Modeling , 30, 111-121.
Bussiere, M., & Fratzscher, M. (2006). Towards a new early warning system of financial crises. Journal of International Money and Finance , 25, 953-973.
Cardarelli, R., Elekdag, S., & Lall, S. (2011). Financial Stress and economic contractions. Journal of Financial Stability , 7, 78-97.
Case, K. E., & Shiller, R. J. (1988). The behavior of home buyers in boom and postboom markets. New England Economic Review , 29-46.
Chang, E. C., Cheng, J. W., & Yu, Y. (2007). Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market. The Journal of Finance , 62 (5), 2097–2121.
Chang, G., & Feigenbaum, J. (2006). A bayesian analysis of log-periodic precursors to financial crashes. Quantitative Finance , 6 (1), 15-36.
Chauveau, T., & Subbotin, A. (2010). Price Dynamics in Market with Heterogeneous Investment Horizons and Boundedly Rational Traders. Working Paper .
Chavas, J.-P. (2000). On information and market dynamics: The case of the U.S. beef market . Journal of Economic Dynamics and Control , 24 (5-7), 833-853.
Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices. Journal of Financial
Economics , 61, 345-381.
Chiarella, C., Dieci, R., & He, X.-Z. (2010). A Framework for CAPM with Heterogeneous Beliefs . NONLINEAR DYNAMICS IN ECONOMICS, FINANCE AND SOCIAL SCIENCES .
Chiarella, C., Dieci, R., & He, X.-Z. (2010). Do heterogeneous beliefs diversify market risk. The European Journal of Finance , 1-18.
Chiarella, C., Iori, G., & Perello, J. (2009). The impact of heterogeneous trading rules on the limit order book and order flows . Journal of Economic Dynamics and
Control , 33 (3), 525-537 .
Choe, H., Kho, B.-C., & Stulz, R. M. (1999). Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics , 54
(2), 227-264.
Choi, N., & Sias, R. W. (2009). Institutional industry herding. Journal of Financial Economics , 94 (3), 469-491.
Chordia, T., Roll, R., & Subrahmanyam, A. (2002). Order imbalance, liquidity, and stock returns. Journal of Financial Economics , 65, 111-130.
Cooper, M. J., Orlin Dimitrov, P., & Rau, R. (2001). A Rose.com by Any Other Name. The Journal of Finance , 56 (6), 2371–2388.
Dass, N., Massa, M., & Patgiri, R. (2008). Mutual Funds and Bubbles: The Surprising Role of Contractual Incentives. The Review of Financial Studies , 21 (1), 51-99.
David Bree, D. C. (2010). Prediction accuracy and sloppiness of log-periodic functions. Working Paper .
de Jong, E., Verschoor, W. F., & Zwinkels, R. C. (2010). Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS. Journal of International
Money and Finance , 29 (8), 1652-1669.
DeLong, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Positive Feedback Investment Strategies and Destabilizing Rational Speculation. The Journal of Finance , 45 (2), 379-95.
DeMarzo, P., Kaniel, R., & Kremer, I. (2007). Technological innovation and real investment booms and busts. Journal of Financial Economics , 85 (3), 735-
754 .
Dennis, P. J., & Strickland, D. (2002). Who Blinks in Volatile Markets, Individuals or Institutions? . The Journal of Finance , 57 (5), 1923–1949.
Devenow, A., & Welch, I. (1996). Rational herding in financial economics. European Economic Review , 40 (3-5), 603-615.
Dhar, R., & Goetzmann, W. N. (2006). Bubble Investors: What Were They Thinking? Working Paper .
Dieci, R., & Westerhoff, F. (2000). Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange
rates. Journal of Economic Dynamics & Control , 34, 743-764.
Duca, M. L., & Peltonen, T. (2011). Macro-financial vulnerabilities and future financial stress – Assessing systemic risks and predicting systemic events.
Working Paper .
Duflo, E., & Saez, E. (2002). Participation and investment decisions in a retirement plan: the influence of colleagues’ choices . Journal of Public Economics , 85 (1),
121-148 .
Ellen, S. t., & Zwinkels, R. C. (2010). Oil price dynamics: A behavioral finance approach with heterogeneous agents . Energy Economics , 32 (6), 1427-1434 .
Feigenbaum, J. A. (2001). A statistical analysis of log-periodic precursors to financial crashes. Quantitative Finance , 1, 346-360.
Frankel, J. A., & Froot, K. A. (1987). Short-term and long-term expectations of the yen/dollar exchange rate: Evidence from survey data. Journal of the Japanese
and International Economies , 1 (3), 249-274.
Frankel, J. A., & Froot, K. A. (1990). The Rationality of the foreign Exchange Rate. Chartists, Fundamentalists, and Trading the Foreign Exchange Market 1990.
American Economic Review , 80 (2), 181-185.
Frankel, J. A., & Froot, K. A. (1987). Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations. American Economic Review , 77 (1), 133-153.
Frankel, J., & Froot, K. (1991). Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market. Working Paper .
Frehen, R. G., Goetzmann, W. N., & Rouwenhorst, K. G. (2009). New Evidence on the First Financial Bubble. NBER Working Paper .
Frijns, B., Lehnert, T., & Zwinkels, R. C. (2010). Behavioral heterogeneity in the option market. Journal of Economic Dynamics and Control , 34 (11), 2273-2287.
Froot, K. A., Scharfstein, D. S., & Stein, J. C. (1992). Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation . The Journal of Finance , 47 (4), 1461-1484 .
Garber, P. M. (2000). Famous First Bubbles: The Fundamentals of Early Manias. The MIT Press.
Gerdesmeier, D., Reimers, H.-E., & Roffia, B. (2010). Asset price misalignments and the role of money and credit. International Finance , 13 (3), 377-407.
Graham, J. R. (1999). Herding among Investment Newsletters: Theory and Evidence . The Journal of Finance , 54 (1), 237–268.
Greenwood, R., & Nagel, S. (2009). Inexperienced investors and bubbles. Journal of Financial Economics , 93 (2), 239-258 .
Griffin, J. M., Harris, J. H., Shu, T., & Topaloglu, S. (2011). Who Drove and Burst the Tech Bubble? . The Journal of Finance , Forthcoming .
Hakkio, C. S., & Keeton, W. R. (2009). Financial stress: What is it, how can it be measured, and why does it matter? Working Paper .
Haruvy, E., & Noussair, C. N. (2006). The Effect of Short Selling on Bubbles and Crashes in Experimental Spot Asset Markets . The Journal of Finance , 61 (3),
1119–1157.
Harvey, C. R., & Siddique, A. (2000). Conditional skewness in asset pricing tests. The Journal of Finance .
He, X.-Z., & Li, Y. (2008). Heterogeneity, convergence, and autocorrelations. Quantitative Finance , 8 (1), 59-79.
He, X.-Z., & Li, Y. (2007). Power-law behaviour, heterogeneity, and trend chasing . Journal of Economic Dynamics and Control , 31 (10), 3396-3426 .
Hollo, D., Kremer, M., & Duca, M. L. (2010). CISS – A composite indicator of systemic stress in the financial system. Working Paper .
Hong, H., & Stein, J. C. (2003). Differences of Opinion, Short‐Sales Constraints, and Market Crashes. The Review of Financial Studies , 16 (2), 487-525.
Hong, H., Kubik, J. D., & Stein, J. C. (2004). Social Interaction and Stock-Market Participation . The Journal of Finance , 59 (1), 137–163.
Huang, W., Zheng, H., & Chia, W.-M. (2010). Financial crises and interacting heterogeneous agents . Journal of Economic Dynamics and Control , 34 (6), 1105-1122 .
Hutson, E., Kearney, C., & Lynch, M. (2008). Volume and skewness in international equity markets. Journal of Banking & Finance , 32, 1255-1268.
Jones, C. M., & Lamont, O. A. (2002). Short-sale constraints and stock returns. Journal of Financial Economics , 66 (2-3), 207-239 .
Jong, E. d., Verschoor, W. F., & Zwinkels, R. C. (2009). Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis . Journal of Economic Dynamics and Control , 33 (11), 1929-1944 .
Jong, E. d., Verschoor, W. F., & Zwinkels, R. C. (2009). Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis . Journal of Economic Dynamics and Control , 33 (11), 1929-1944 .
Kamada, K., & Nasu, K. (2011). The financial cycle index for early warning exercise. Working Paper .
Kindleberger, C. P., & Aliber, R. (2005). Manias, Panics, and Crashes: A History of Financial Crises. Wiley Investment Classics.
Kirsch, D., & Goldfarb, B. (2011). When Are There Not Bubbles? aper presented at the annual meeting of the SASE Annual Conference .
Kremer, S. (2010). Herding of institutional traders. Discussion Papers .
Kumar, M., Moorthy, U., & Perraudin, W. (2003). Predicting emerging market currency crashes. Journal of Empirical Finance , 10, 427-454.
Kyle, A. S. (1985). Continuous Auctions and Insider Trading. Econometrica , 53 (6), 1315-1335.
LeRoy, S. F. (2004). Rational Exuberance. Journal of Economic Literature , 42 (3), 783-804.
Li, C. W., & Xue, H. (2009). A Bayesian's Bubble. The Journal of Finance , 64 (6), 2665–2701.
Liberatore, V. (2011). Financial LPPL bubbles with mean-reverting noise in the frequency domain. Working Paper .
Lim, B. Y. (2011). Short-sale constraints and price bubbles . Journal of Banking & Finance , Article in Press.
Lin, A. Y. (2006). Has the Asian crisis changed the role of foreign investors in emerging equity markets: Taiwan's experience. International Review of Economics & Finance , 15 (3), 364-382.
Lux, T. (1995). Herd Behaviour, Bubbles and Crashes . The Economic Journal , 105 (431), 881-896.
Maliepaard, R., Huisman, R., & Zwinkels, R. C. (2010). Heterogeneous Agents in Electricity Forward Markets. Working Paper .
Malkiel, B. G. (2010). Bubbles in Asset Prices. Working Paper .
Manzan, S., & Westerhoff, F. H. (2007). Heterogeneous expectations, exchange rate dynamics and predictability . Journal of Economic Behavior & Organization , 64 (1), 111-128 .
Mayhew, S., & Mihov, V. T. (2005). Short Sale Constraints, Overvaluation, and the Introduction of Options . AFA 2005 Philadelphia Meetings .
Menkhoff, L. (2010). The use of technical analysis by fund managers: International evidence . Journal of Banking & Finance , 34 (11), 2573-2586.
Mixon, S. (2011). What does implied volatility skew meausre? Journal of Deivatives .
Nofsinger, J. R., & Sias, R. W. (1999). Herding and Feedback Trading by Institutional and Individual Investors . The Journal of Finance , 54 (6), 2263–2295.
Ofek, E., Richardsona, M., & Whitelaw, R. F. (2004). Limited arbitrage and short sales restrictions: evidence from the options markets. Journal of Financial
Economics , 74 (2), 305-342 .
Pastor, L., & Veronesi, P. (2003). Stock Valuation and Learning about Profitability . The Journal of Finance , 58 (5), 1749-1789 .
Pastor, L., & Veronesi, P. (2005). Rational IPO Waves. The Journal of Finance , 60 (4), 1713-1757.
Pastor, L., & Veronesi, P. (2009). Technological revolution and stock prices. American Economic Review , 99 (4), 1451-1483 .
Pastor, L., & Veronesi, P. (2009). Technological Revolutions and Stock Prices . American Economic Review , 99 (4), 1451-1483.
Pastor, L., & Veronesi, P. (2006). Was there a Nasdaq bubble in the late 1990s? Journal of Financial Economics , 8 (1), 61-100.
Phillips, B. (2011). Options, short-sale constraints and market efficiency: A new perspective . Journal of Banking & Finance , 35 (2), 430-442 .
Reitz, S., & Slopek, U. (2009). Non-Linear Oil Price Dynamics: A Tale of Heterogeneous Speculators? . German Economic Review , 10 (3), 270–283.
Reitz, S., & Westerhoff, F. (2007). Commodity price cycles and heterogeneous speculators: a STAR–GARCH model. Empirical Economics , 33 (2), 231-244.
Richardson, M. P., & Ofek, E. (2003). DotComMania: The Rise and Fall of Internet Stock Prices . The Journal of Finance , 58 (3), 1113-1138.
Rosser, J. B. (2000). From Catastrophe to Chaos: A General Theory of Economic Discontinuities: Mathematics, Microeconomics, Macroeconomics, and Finance.
Springer.
Saleur, H. a. (1996). Complex component and log-periodic corrections in frustrated systems. J. Phys. I France , 6, 327-355.
Schularick, M., & Taylor, A. M. (2009). Credit booms gone bust: Monetary policy, leverage cycles and financial crises, 1870-2008. NBER Working Paper .
Schuppli, M., & Bohl, M. T. (2010). Do Foreign Institutional Investors Destabilize China’s A-Share Markets? Journal of International Financial Markets, Institutions and Money , 20 (1), 36-50.
Sergey V. Tsirel, A. A. (2010). Log-periodic oscillation analysis and possible burst of the Gold Bubble in April-June 2011. Working Paper .
Shiller, K. E. (1988). The behavior of home buyers in boom and post-boom markets. New England Economic Review , 29-46.
Shiller, R. J. (1987). Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence. NBER Working Papers .
Shiller, R. J. (2000). Measuring Bubble Expectations and Investor Confidence . Journal of Behavioral Finance , 1 (1), 49 - 60.
Shiller, R. J. (2000). Measuring bubble expectations and investor confidence. The Journal of Psychology and Financial Markets , 1 (1), 49-60.
Shiller, R. J. (1988). Portfolio Insurance and Other Investor Fashions as Factors in the 1987 Stock Market Crash. NBER Macroeconomics Annual , 3, 287-297.
Shiller, R. J. (1990). Speculative Prices and Popular Models . The Journal of Economic Perspectives , 4 (2), 55-65 .
Shleifer, A., & Vishny, R. W. (1997). The Limits of Arbitrage. The Journal of Finance , 52 (1), 35-55.
Sias, J. R. (1999). Herding and Feedback Trading by Institutional and Individual Investors . The Journal of Finance q , 54 (6), 2263-2295 .
Siegel, J. J. (2003). What Is an Asset Price Bubble? An Operational Definition. European Financial Management , 9 (1), 11-24.
Sornette, D. a. (2001). Finite-time singularity in the dynamics of the world population, economic and financial indices. Physica A , 294, 465-502.
Sornette, D. (2003). Critical market crashes. Working Paper .
Sornette, D., & Johansen, A. (1998). A hierarchical model of financial crashes. Physica A , 261, 581-598.
Sornette, D., & Johansen, A. (1997). Large financial crashes. Physica A , 245, 411-422.
Sornette, D., & Johansen, A. (2001). Significance of log-periodic precursors to financial crashes. Quantitative Finance , 1, 452-471.
Sornette, D., & Sammis, C. G. (1995). Complex critical exponent from renormalization group theory of earthquake: implication for earthquake predictions. J. Phys. I France , 5, 607-619.
Sornette, D., Johansen, A., & Bouchaud, J.-P. (1995). Stock market crashes, precursors and replicates. Working Paper .
Sornette, D., Takayasu, H., & Zhou, W.-X. (2003). Finite-time singularity signature of hyperinflation. Physica A , 325, 492-506.
Sornette, D., Woodard, R., & Zhou, W.-X. (2009). The 2006-2008 oil bubble: Evidence of speculation, and prediction. Physica A , 388, 1571-1576.
Taylor, H. A. (1990). Charts, Noise and Fundamentals in the London Foreign Exchange Market . The Economic Journal , 100 (400), 49-59 .
Taylor, M. P., & Allen, H. (1992). The use of technical analysis in the foreign exchange market . Journal of International Money and Finance , 11 (3), 304-
314 .
Tramontana, F., Westerhoff, F., & Gardini, L. (2010). On the complicated price dynamics of a simple one-dimensional discontinuous financial market model
with heterogeneous interacting traders. Journal of Economic Behavior & Organization , 74, 187-205.
Tsay, R. S. (2010). Analysis of financial time series. Wiley series in probability and statistics.
Veneziaa, I., Nashikkarb, A., & Shapirab, Z. (2010). Firm specific and macro herding by professional and amateur investors and their effects on market volatility. Journal of Banking & Finance , Article in Press.
Vigfusson, R. (1997). Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach. International Journal of Finance & Economics , 2 (4), 291-305.
Voth, P. T.-J. (2004). Riding the South Sea Bubble . The American Economic Review , 94 (5), 1654-1668.
Wanfeng Yan, R. W. (2010). Diagnosis and prediction of tipping points in financial markets: Crashes and rebounds. Physics Procedia , 3, 1641-1657.
Weinbaum, D. (2009). Investor heterogeneity, asset pricing and volatility dynamics . Journal of Economic Dynamics and Control , 33 (7), 1379-1397 .
Weinbaum, D. (2010). Preference heterogeneity and asset prices: An exact solution . Journal of Banking & Finance , 34 (9), 2238-2246 .
Welch, I. (2000). Herding among security analysts. Journal of Financial Economics , 58 (3), 369-396.
Welch, I. (1992). Sequential Sales, Learning, and Cascades . 47 (2), 695-732.
Westerhoff, F. H., & Reitz, S. (2003). Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists . Studies in Nonlinear Dynamics &
Econometrics , 7 (4), Article 3.
Westerhoff, F., & Reitz, S. (2005). Commodity price dynamics and the nonlinear market impact of technical traders: empirical evidence for the US corn market .
Physica A: Statistical Mechanics and its Applications , 349 (3-4), 641-648 .
White, E. N. (1990). The Stock Market Boom and Crash of 1929 Revisited. Journal of Economic Perspectives , 4 (2), 67-83.
Xing, Y., Zhang, X., & Zhao, R. (2010). What does the individual option volatility smirk tell us about future equity returns? Journal of Financial and Quantitative
Analysis , 45 (3), 641-662.
Xiong, W., & Yan, H. (2010). Heterogeneous expectations and bond markets. The Review of Financial Studies , 23 (4).
Zhou, W.-X., & Sornette, D. (2003). 2000-2003 real estate bubble in the UK but not in the USA. Physica A , 329, 249-263.
Zhou, W.-X., & Sornette, D. (2008). Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indices. Physica A , 387,
243-260.
Zhou, W.-X., & Sornette, D. (2004a). Antibubble and prediction of China’s stock market and real estate. Physica A , 337, 243-268.
Zhou, W.-X., & Sornette, D. (2004b). Causal slaving of the US treasury bond yield antibubble by the stock market antibubble of August 2000. Physica A , 337, 586-608.
Zhou, W.-X., & Sornette, D. (2004). Evidence of fueling of the 2000 new economy bubble by foreign capital inflow: implication for the future of the US economy and its stock market. Physica A , 332, 412-440.
Zhou, W.-X., & Sornette, D. (2002). Evidence of intermittent cascades from discrete hierarchical dissipation in turbulence. Physica D , 94-125.
Zhou, W.-X., & Sornette, D. (2006b). Fundamental factor versus herding in the 2000- 2005 US stock market and prediction. Physica A , 360, 459-482.
Zhou, W.-X., & Sornette, D. (2006a). Is there a real-estate bubble in the US? Physica A , 361, 297-308.
Zhou, W.-X., & Sornette, D. (2006). Predictability of large future change in major financial indices. nternational Journal of Forecasting , 22, 153-168.
Zhou, W.-X., & Sornette, D. (2005). Testing the stability of the 2000 US stock market antibubble. Physica A , 348, 428-452.
Zhou, W.-X., & Sornette, D. (2002). The US 2000-2002 market descent: how much longer and deeper. Quantitative Finance , 2, 468-481.