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Simultaneous supply and demand constraints in input-output networks : the case of Covid-19 in Germany, Italy, and Spain

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Heterogeneous effects and spillovers of macroprudential policy in an agent-based model of the UK housing market

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Black-box Bayesian inference for agent-based models

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Leverage Causes Fat Tails and Clustered Volatility

Thurner, Stefan - 2011

We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing," i.e., systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are...

Persistent link: https://www.econbiz.de/10013118186

Leverage causes fat tails and clustered volatility

Thurner, Stefan; Farmer, J. Doyne; Geanakoplos, John - In: Quantitative Finance 12 (2012) 5, pp. 695-707

We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called ‘value investing’, i.e. systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset...

Persistent link: https://www.econbiz.de/10010976187