Dynamic instability in generic model of multi-assets markets

DOI10.1016/J.JEDC.2008.12.005MaRDI QIDQ2270570zbMATH OpenOpenAlexFDO

Authors Matteo Marsili, Giacomo Raffaelli, B. Ponsot

Publication date 28 July 2009

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2008.12.005

zbMATH Keywords

correlationdynamic instabilityexcess comovementportfolio theory

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• A dynamic analysis of moving average rules
• Estimating phenomenological parameters in multi-assets markets
• Fat tails and volatility clustering in experimental asset markets
• Financial applications of random matrix theory: old laces and new pieces
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Quantifying the dynamics of financial correlations
• Theory of Financial Risk and Derivative Pricing

Cited in

(14)

• Dynamic equilibrium and volatility in financial asset markets
• Institutional investors and the dependence structure of asset returns
• Excess covariance and dynamic instability in a multi-asset model
• A feedback model for the financialization of commodity markets
• On the non-stationarity of financial time series: impact on optimal portfolio selection
• On the concentration of large deviations for fat tailed distributions, with application to financial data
• Sparse model selection in the highly under-sampled regime
• Time-varying economic dominance in financial markets: a bistable dynamics approach
• Quantifying interactions in nonlinear feedback dynamics: a time series analysis
• An evolutionary CAPM under heterogeneous beliefs
• Dynamic instability in a phenomenological model of correlated assets
• Estimating phenomenological parameters in multi-assets markets
• Non-universal scaling and dynamical feedback in generalized models of financial markets
• Bridging stylized facts in finance and data non-stationarities

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