Eroding market stability by proliferation of financial instruments

DOI10.1140/EPJB/E2009-00316-YzbMath1188.91138arXiv0910.0064OpenAlexW3100223094MaRDI QIDQ977761

Pierpaolo Vivo, Matteo Marsili, Fabio Caccioli

Publication date: 23 June 2010

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.0064

zbMATH Keywords

financial marketseconophysicsbusiness and management

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Trade models (91B60) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Equilibrium Pricing Under Relative Performance Concerns ⋮ Tipping points in macroeconomic agent-based models ⋮ When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification ⋮ Simulation of the effect of learning on the topology of the functional connectivity of neural networks ⋮ Leverage causes fat tails and clustered volatility ⋮ Financial crisis dynamics: attempt to define a market instability indicator

Cites Work

• Unnamed Item
• More hedging instruments may destabilize markets
• Statistical mechanics of socio-economic systems with heterogeneous agents
• General Black-Scholes models accounting for increased market volatility from hedging strategies

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