More hedging instruments may destabilize markets
From MaRDI portal
Publication:1032688
DOI10.1016/j.jedc.2009.05.004zbMath1178.91062OpenAlexW3125283455WikidataQ29305973 ScholiaQ29305973MaRDI QIDQ1032688
Cars H. Hommes, William A. Brock, Florian O. O. Wagener
Publication date: 26 October 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://cendef.uva.nl/binaries/content/assets/subsites/amsterdam-school-of-economics/amsterdam-school-of-economics-research-institute/cendef/working-papers-2006/brohomwag.pdf?1417181713282
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (30)
Forecast combination, non-linear dynamics, and the macroeconomy ⋮ Heterogeneity and learning with complete markets ⋮ Welfare effects of short-sale constraints under heterogeneous beliefs ⋮ When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification ⋮ Portfolio diversification and systemic risk in interbank networks ⋮ Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents ⋮ A laboratory experiment on the heuristic switching model ⋮ Boom-bust dynamics in a stock market participation model with heterogeneous traders ⋮ Bounded rationality, asymmetric information and mispricing in financial markets ⋮ Examining the effectiveness of price limits in an artificial stock market ⋮ Survival in speculative markets ⋮ The heterogeneous expectations hypothesis: Some evidence from the lab ⋮ Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends ⋮ The inherent law of the unpredictability of financial asset price fluctuations: multistability and chaos ⋮ Leveraged network-based financial accelerator ⋮ On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets ⋮ When panic makes you blind: a chaotic route to systemic risk ⋮ Contagion between asset markets: a two market heterogeneous agents model with destabilising spillover effects ⋮ Speculative behavior and chaotic asset price dynamics: on the emergence of a bandcount accretion bifurcation structure ⋮ Switching processes in financial markets ⋮ Asset price dynamics with heterogeneous beliefs and local network interactions ⋮ Optimism, pessimism and financial bubbles ⋮ Speculative behavior and the dynamics of interacting stock markets ⋮ From discrete to continuous time evolutionary finance models ⋮ Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates ⋮ Eroding market stability by proliferation of financial instruments ⋮ Leveraging the network: a stress-test framework based on debtrank ⋮ Speculative asset price dynamics and wealth taxes ⋮ Complexity and financial stability in a large random economy ⋮ Leverage causes fat tails and clustered volatility
Cites Work
- Unnamed Item
- Unnamed Item
- Behavioral heterogeneity in stock prices
- On the optimality of equilibrium when the market structure is incomplete
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Pareto improving financial innovation in incomplete markets
- Welfare effects of financial innovation in incomplete markets economies with several consumption goods
- Agent-based computational finance: Suggested readings and early research
- Excess price volatility and financial innovation
- If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
- A Rational Route to Randomness
- Expectations Formation and Stability of Large Socioeconomic Systems
- Does Market Incompleteness Matter?
- Invariant manifolds
- Elements of applied bifurcation theory
This page was built for publication: More hedging instruments may destabilize markets
