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Ferguson, Robert - 2018

The principles of behavioral psychology can explain how crashes occur. In particular, the concept of "stimulus generalization" tells us that organisms tend to respond in the same way to similar stimuli. In a crash, or pre-crash, context, several stimuli - including rising prices, above-average...

Persistent link: https://www.econbiz.de/10012928814

Financial Market Crashes with the Tick Size, Indivisible Assets

Tian, Wenzhao - 2017

This paper offers a model for financial market crashes without the two basic hypotheses - the assets are perfectly divisible, and their trading takes place continuously in time. We show that financial market crashes stem endogenously from an inherent characteristic of financial markets rather...

Persistent link: https://www.econbiz.de/10012946908

Quantitative Easing, Collateral Constraints, and Financial Spillovers

Geanakoplos, John - 2018

The steady application of Quantitative Easing (QE) has been followed by big and non-monotonic eﬀects on international asset prices and international capital flows. These are diﬀicult to explain in conventional models, but arise naturally in a model with collateral. This paper develops a...

Persistent link: https://www.econbiz.de/10012906607

Quantitative Easing, Collateral Constraints, and Financial Spillovers

Geanakoplos, John - 2019

Persistent link: https://www.econbiz.de/10012896238

Toward a Unified Theory for Normal and Crash States in Financial Markets

Tian, Wenzhao - 2018

Abstract: This paper offers a unified theory, which maps financial markets into a two dimension Banach space by … quantizing the price fluctuation and trading volume of financial assets. In this space, we develop a new portfolio theory and … unified theory returns to the traditional theories—the modern portfolio theory and the CAPM, and theoretically challenges …

Persistent link: https://www.econbiz.de/10012931115

Financial complexity and trade

Galanis, Spyros - 2017

Persistent link: https://www.econbiz.de/10011657031

Financial complexity and trade

Galanis, Spyros - In: Games and economic behavior 112 (2018), pp. 219-230

Persistent link: https://www.econbiz.de/10012174454

Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability

Vogl, Markus; Roetzel, Peter Gordon - 2021

In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...

Persistent link: https://www.econbiz.de/10013229642

A counterfactual valuation of the stock index as a predictor of crashes

Roberts, Tom - 2017

Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon - instead, I shift focus to severe downside risk (i.e., crashes). I use the cointegrating relationship between the log S&P Composite Index and log earnings over 1871 to 2015, combined with...

Persistent link: https://www.econbiz.de/10011777936

A tale of fire-sales and liquidity hoarding

Berentsen, Aleksander; Müller, Benjamin - 2014

We extend the analysis of the interbank market model of Gale and Yorulmazer (2013) by studying a larger set of trading mechanisms. A trading mechanism, which allows for randomized trading, restores efficiency. In contrast to Gale and Yorulmazer, we find that fire-sale asset prices are efficient...

Persistent link: https://www.econbiz.de/10010243438