Financial crisis dynamics: attempt to define a market instability indicator

DOI10.1080/14697688.2011.627880zbMath1279.91199OpenAlexW3123383295MaRDI QIDQ2873555

Raphaël Douady, Youngna Choi

Publication date: 24 January 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2011.627880

zbMATH Keywords

dynamical systemsbifurcationmacroeconomicscontagionchaos theorysystemic riskeconophysics

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Related Items (5)

Topological data analysis of financial time series: landscapes of crashes ⋮ Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks ⋮ When panic makes you blind: a chaotic route to systemic risk ⋮ Large portfolio losses in a turbulent market ⋮ BORROWING CAPACITY, FINANCIAL INSTABILITY, AND CONTAGION

Cites Work

• Eroding market stability by proliferation of financial instruments
• The Hopf bifurcation and the existence and stability of closed orbits in multisector models of optimal economic growth
• On Endogenous Competitive Business Cycles

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