Leverage causes fat tails and clustered volatility (Q2869960): Difference between revisions

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+The Pricing of Options and Corporate Liabilities
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+Normal rank
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+Heterogeneous beliefs and routes to chaos in a simple asset pricing model
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+More hedging instruments may destabilize markets
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+Normal rank
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+Eroding market stability by proliferation of financial instruments
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Bubbles and crashes: gradient dynamics in financial markets
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+Institutional Investors and Stock Market Volatility
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+A simple general approach to inference about the tail of a distribution
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+Artificial economic life: A simple model of a stockmarket
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+Optimal leverage from non-ergodicity
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+Normal rank