Leverage causes fat tails and clustered volatility

DOI10.1080/14697688.2012.674301zbMath1278.91154arXiv0908.1555OpenAlexW3125264555WikidataQ56689100 ScholiaQ56689100MaRDI QIDQ2869960

J. Doyne Farmer, John D. Geanakoplos, Stefan Thurner

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.1555

zbMATH Keywords

leveragesystemic riskfat tailscrashclustered volatilitymargin calls

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Portfolio theory (91G10)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Eroding market stability by proliferation of financial instruments
• More hedging instruments may destabilize markets
• A simple general approach to inference about the tail of a distribution
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Artificial economic life: A simple model of a stockmarket
• Bubbles and crashes: gradient dynamics in financial markets
• Optimal leverage from non-ergodicity
• Institutional Investors and Stock Market Volatility
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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