Similar Search Results

Asset price dynamcis and diversification with heterogeneous agents

Chiarella, Carl; Dieci, Roberto; Gardini, Laura - In: Nonlinear dynamics and heterogeneous interacting agents …, (pp. 251-267). 2005

Persistent link: https://www.econbiz.de/10002775676

Asset price dynamics with time-varying second moment

Chiarella, Carl; He, Xue-zhong; Wang, Duo - 2004

Persistent link: https://www.econbiz.de/10002554388

Comprendre et gérer les risques grands et extrêmes

Andersen, J. V. (contributor); Malevergne, Y. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001906912

Asset Prices and Wealth Dynamics in a Financial Market with Endogenous Liquidation Risk

Dindo, Pietro - 2018

Within a financial market where a risk-free bond and a long-lived risky asset are exchanged by investors with heterogeneous trading rules, we assume that the investors most exposed to the risky asset are subject to joint liquidation needs. The latter encompass a risk whenever the market impact...

Persistent link: https://www.econbiz.de/10012930535

Network Versus Portfolio Structure in Financial Systems

Kobayashi, Teruyoshi - 2013

allocation of external assets that minimizes systemic risk varies with the topology of the financial network as long as asset …

Persistent link: https://www.econbiz.de/10013082656

The Topology of Overlapping Portfolio Networks

Guo, Weilong - 2018

This paper analyzes the topology of the network of common asset holdings, where nodes represent managed portfolios and … links, where weak links are those that lead to significant liquidations. We explore the applications of this network … factors. The network of weak links has a scale free structure, similar to financial networks of balance sheet exposures …

Persistent link: https://www.econbiz.de/10012937205