We study consequences of regulatory interventions in limit order markets that aim at stabilizing the market after an occurrence of a "flash crash." We use a simulation platform that creates random arrivals of trade orders, that allows us to analyze subtle features of liquidity and price...

We show that realized volatility, especially the realized volatility of financial sector stock returns, has strong predictive content for the future distribution of market returns. This is a robust feature of the last century of U.S. data and, most importantly, can be exploited in real time....

Periods of excessive credit growth can imply emergence of systemic financial stress which may result in financial crisis causing severe losses in the real economy. The base indicators of overheatedness in the credit markets are the expansion of the credit-to-GDP ratio and its deviation from its...

Chapter Summary: We consider the recent financial crisis as an overlapping sequence of interdependent financial bubbles followed by their collapse. Governments and regulatory agencies have made it a prime goal to moderate future crises. Many attempts at financial, economic and social engineering...

Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress, enabling crises to proliferate across a broad spectrum of...

This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and con-siders the standard risk management measure Value-at-Risk (“VaR”). We apply the theory of local martingales, present a styled model of asset price bubbles in continuous time and...

In this paper, we examine the spillover effect of school ties. Analysts who have direct school ties with at least one firm in an industry make more frequent and more accurate forecasts, as well as more profitable recommendations on other firms in the same industry where they do not have direct...

Currently financial stress test simulations that take into account multiple interacting contagion mechanisms are conditional on a specific, subjectively imposed stress-scenario. Eigenvalue-based approaches, in contrast, provide a scenario-independent measure of systemic stability, but only...

This paper applies a filtered historical simulation (FHS) approach to macroeconomic scenario generation. The aim of the approach is to generate more plausible macroeconomic scenarios than other macroeconomic scenario models such as the global vector autoregression (GVAR) model. This paper shows...