金融泡沫：机制和诊断
Financial bubbles: mechanisms and diagnostics
摘要：
我们将金融泡沫定义为一个不可持续的增长时期，此时资产价格在一系列加速的修正和反弹阶段中以前所未有的速度上涨。从技术上讲，在泡沫阶段，价格遵循快于指数的幂律增长过程，通常伴随着对数周期振荡。这种动态突然结束于政权的改变，可能是崩溃或实质性的调整。因为它们会留下这样特定的痕迹，所以泡沫可能会被提前识别出来，也就是说，在它们破裂之前。在本文中，我们将以一种直观的方式解释金融泡沫背后的机制。我们将展示对数周期幂律是如何从金融市场这个复杂系统中自发产生的，它是反馈机制、层级结构、特定交易动态和投资风格的结果。我们认为，当泡沫发展到成熟阶段时，重大调整甚至崩溃的风险就会变得很大，因此，找到泡沫的证据并尽可能早地跟踪它们的发展是非常重要的。本文中解释的工具实际上是为了达到这一目的。它们是苏黎世联邦理工学院金融危机观测站的核心，每天都有数万笔资产受到监控。这使我们能够对全球金融市场正在出现的泡沫有一个持续的概览。作为2014年诺贝尔经济学奖白皮书系列（2014年）的一部分，题为“金融泡沫：机制、诊断和世界状况（2014年2月）”的配套报告介绍了本文概述的方法的实际应用，并描述了我们对截至2014年1月底金融市场中积极和消极泡沫状况的看法。
英文摘要：
We define a financial bubble as a period of unsustainable growth, when the price of an asset increases ever more quickly, in a series of accelerating phases of corrections and rebounds. More technically, during a bubble phase, the price follows a faster-than-exponential power law growth process, often accompanied by log-periodic oscillations. This dynamic ends abruptly in a change of regime that may be a crash or a substantial correction. Because they leave such specific traces, bubbles may be recognised in advance, that is, before they burst. In this paper, we will explain the mechanism behind financial bubbles in an intuitive way. We will show how the log-periodic power law emerges spontaneously from the complex system that financial markets are, as a consequence of feedback mechanisms, hierarchical structure and specific trading dynamics and investment styles. We argue that the risk of a major correction, or even a crash, becomes substantial when a bubble develops towards maturity, and that it is therefore very important to find evidence of bubbles and to follow their development from as early a stage as possible. The tools that are explained in this paper actually serve that purpose. They are at the core of the Financial Crisis Observatory at the ETH Zurich, where tens of thousands of assets are monitored on a daily basis. This allow us to have a continuous overview of emerging bubbles in the global financial markets. The companion report available as part of the Notenstein white paper series (2014) with the title ``Financial bubbles: mechanism, diagnostic and state of the World (Feb. 2014)'' presents a practical application of the methodology outlines in this article and describes our view of the status concerning positive and negative bubbles in the financial markets, as of the end of January 2014.
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