Anufriev, Mikhail; Bottazzi, Giulio; Marsili, Matteo; … - In: Journal of Economic Dynamics and Control 36 (2012) 8, pp. 1142-1161
The presence of excess covariance in financial price returns is an accepted empirical fact: the price dynamics of financial assets tend to be more correlated than their fundamentals would justify. We advance an explanation of this fact based on an intertemporal equilibrium multi-assets model of...