When panic makes you blind: a chaotic route to systemic risk

DOI10.1016/j.jedc.2018.12.009zbMath1411.91521arXiv1805.00785OpenAlexW2963661791MaRDI QIDQ1734544

Stefano Marmi, Fabrizio Lillo, Piero Mazzarisi

Publication date: 27 March 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.00785

zbMATH Keywords

random dynamical systemssystemic riskfinancial innovationsleverage cyclesautoregressive dynamicsbackward-looking expectations

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Unimodal maps perturbed by heteroscedastic noise: an application to financial systems ⋮ Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks

Uses Software

• FinTS

Cites Work

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