Amplification and asymmetry in crashes and frenzies

DOI10.1007/S10436-007-0077-ZMaRDI QIDQ665807zbMATH OpenOpenAlexFDO

Authors Han Ozsoylev

Publication date 6 March 2012

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-007-0077-z

zbMATH Keywords

asymmetryamplificationhedgingportfolio insurancecrashfrenzy

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16)

Recommendations

• The market for crash risk
• Asset price volatility and information structures
• Fear and its implications for stock markets
• Informational asymmetries and a multiplier effect on price correlation and trading
• CRASHES AS CRITICAL POINTS

Cites work

• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• Growth cycles and market crashes
• Market Crashes and Informational Avalanches
• Private information and the design of securities
• Slow boom, sudden crash
• The pricing of options and corporate liabilities

Cited in

(2)

• Fear and its implications for stock markets
• Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

This page was built for publication: Amplification and asymmetry in crashes and frenzies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q665807)