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

@@ Property / author @@
-Stefan Thurner
@@ Property / author: Stefan Thurner / rank @@
-Normal rank
@@ Property / author @@
-John D. Geanakoplos
@@ Property / author: John D. Geanakoplos / rank @@
-Normal rank
@@ Property / author @@
+Stefan Thurner
@@ Property / author: Stefan Thurner / rank @@
+Normal rank
@@ Property / author @@
+John D. Geanakoplos
@@ Property / author: John D. Geanakoplos / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q56689100
@@ Property / Wikidata QID: Q56689100 / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3125264555
@@ Property / OpenAlex ID: W3125264555 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.1555
@@ Property / arXiv ID: 0908.1555 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Heterogeneous beliefs and routes to chaos in a simple asset pricing model
+Normal rank
@@ Property / cites work @@
+More hedging instruments may destabilize markets
@@ Property / cites work: More hedging instruments may destabilize markets / rank @@
+Normal rank
@@ Property / cites work @@
+Eroding market stability by proliferation of financial instruments
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Bubbles and crashes: gradient dynamics in financial markets
+Normal rank
@@ Property / cites work @@
+Institutional Investors and Stock Market Volatility
+Normal rank
@@ Property / cites work @@
+A simple general approach to inference about the tail of a distribution
+Normal rank
@@ Property / cites work @@
+Artificial economic life: A simple model of a stockmarket
+Normal rank
@@ Property / cites work @@
+Optimal leverage from non-ergodicity
@@ Property / cites work: Optimal leverage from non-ergodicity / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2869960